Shrinkage estimation of regression models with multiple structural changes
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Cites work
- A Bernstein type inequality and moderate deviations for weakly dependent sequences
- Adaptive GMM shrinkage estimation with consistent moment selection
- An alternative to unit root tests: bridge estimators differentiate between nonstationary versus stationary models and select optimal lag
- Asymptotics for Lasso-type estimators.
- Common breaks in means and variances for panel data
- Critical values for multiple structural change tests
- Detection of structural breaks in linear dynamic panel data models
- End-of-Sample Instability Tests
- Estimating a common deterministic time trend break in large panels with cross sectional dependence
- Estimating and Testing Linear Models with Multiple Structural Changes
- Estimating and Testing Structural Changes in Multivariate Regressions
- Estimation of multiple-regime regressions with least absolutes deviation
- Exponential inequalities for martingales and asymptotic properties of the free energy of directed polymers in a random environment
- Jackknife model averaging for quantile regressions
- LASSO-TYPE GMM ESTIMATOR
- Model Selection and Estimation in Regression with Grouped Variables
- Nonconcave penalized likelihood with a diverging number of parameters.
- On the distribution of penalized maximum likelihood estimators: the LASSO, SCAD, and thresholding
- On the distribution of the adaptive LASSO estimator
- Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
- Oracle efficient variable selection in random and fixed effects panel data models
- Pathwise coordinate optimization
- Profile-kernel likelihood inference with diverging number of parameters
- Properties and refinements of the fused Lasso
- Segmentation of ARX-models using sum-of-norms regularization
- Sparse estimators and the oracle property, or the return of Hodges' estimator
- Sparse models and methods for optimal instruments with an application to eminent domain
- Sparsity and Smoothness Via the Fused Lasso
- Testing For and Dating Common Breaks in Multivariate Time Series
- Testing structural change in partially linear models
- Tests for Parameter Instability and Structural Change With Unknown Change Point
Cited in
(40)- Shrinkage structure in biased regression
- Test by adaptive Lasso quantile method for real-time detection of a change-point
- Estimation of large dimensional factor models with an unknown number of breaks
- Changepoint in dependent and non-stationary panels
- Identifying latent group structures in nonlinear panels
- Changepoint detection by the quantile Lasso method
- A penalized regression approach for DNA copy number study using the sequencing data
- Group fused Lasso for large factor models with multiple structural breaks
- High-dimensional VARs with common factors
- Multiple structural breaks in cointegrating regressions: a model selection approach
- Structuring shrinkage: some correlated priors for regression
- Shrinkage estimation of the regression parameters with multivariate normal errors
- Structural changes in multivariate regression models
- Oracle efficient estimation of structural breaks in cointegrating regressions
- A modified information criterion for tuning parameter selection in 1d fused LASSO for inference on multiple change points
- Identifying latent grouped patterns in cointegrated panels
- Detection of similar successive groups in a model with diverging number of variable groups
- Shrinkage quantile regression for panel data with multiple structural breaks
- Efficient multiple change point detection for high‐dimensional generalized linear models
- Penetrating sporadic return predictability
- Estimation and identification of latent group structures in panel data
- Shrinkage estimation of multiple threshold factor models
- A Regression Modeling Approach to Structured Shrinkage Estimation
- scientific article; zbMATH DE number 7829051 (Why is no real title available?)
- Testing for explosive bubbles: a review
- Active-set based block coordinate descent algorithm in group LASSO for self-exciting threshold autoregressive model
- Shrinkage estimation and forecasting in dynamic regression models under structural instability
- Variable selection in high dimensional linear regressions with parameter instability
- Monotonicity in estimating multiple structural breaks
- Shrinkage estimation of spatial panel data models with multiple structural breaks and a multifactor error structure
- Causal segment regression with multiple thresholds
- When structural break meets threshold effect: factor analysis under structural instabilities
- Tensor changepoint detection and eigenbootstrap
- Shrinkage and noniterative estimation for moving average models with structural breaks
- High-dimensional banded vector autoregressions subject to structural breaks
- A novel framework for ultra-high-dimensional change points detection
- Adaptive change point detection and sparsity recovery
- Estimating structural equation models using James-Stein type shrinkage estimators
- Optimal method in multiple regression with structural changes
- Shrinkage estimation of common breaks in panel data models via adaptive group fused Lasso
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