Structural breaks with deterministic and stochastic trends
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Cites work
- Asymptotics for linear processes
- Estimating and Testing Linear Models with Multiple Structural Changes
- Further evidence on breaking trend functions in macroeconomic variables
- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
- scientific article; zbMATH DE number 1048663 (Why is no real title available?)
- scientific article; zbMATH DE number 1487640 (Why is no real title available?)
- LEAST SQUARES ESTIMATION OF A SHIFT IN LINEAR PROCESSES
- On asymptotic distribution theory in segmented regression problems - identified case
- Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
- Some tests for parameter constancy in cointegrated VAR‐models
- Structural changes in the cointegrated vector autoregressive model
- Testing for a unit root in time series regression
- Testing For and Dating Common Breaks in Multivariate Time Series
- Testing for the Constancy of Parameters Over Time
- Tests for Parameter Instability and Structural Change With Unknown Change Point
- Tests of cointegrating rank with trend-break
- The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
Cited in
(61)- Drift and breaks in labor productivity
- Further evidence on breaking trend functions in macroeconomic variables
- On infimum Dickey-Fuller unit root tests allowing for a trend break under the null
- Bias correction of KPSS test with structural break for reducing of size distortion
- Analysis of economic growth: structural breaks, superrandomness, and nonlinear forecasting
- Estimation of a level shift in panel data with fractionally integrated errors
- Inference on a structural break in trend with mildly integrated errors
- Level shift estimation in the presence of non-stationary volatility with an application to the unit root testing problem
- Detection and attribution of climate change through econometric methods
- An omnibus test to detect time-heterogeneity in time series
- Inference related to common breaks in a multivariate system with joined segmented trends with applications to global and hemispheric temperatures
- Confidence sets for the date of a break in level and trend when the order of integration is unknown
- Testing for unit roots in the possible presence of multiple trend breaks using minimum Dickey-Fuller statistics
- Modelling structural breaks, long memory and stock market volatility: an overview
- Structural VARs, deterministic and stochastic trends: how much detrending matters for shock identification
- Tests of the co-integration rank in VAR models in the presence of a possible break in trend at an unknown point
- Inference on a structural break in trend with fractionally integrated errors
- On the behavior of fixed-b trend break tests under fractional integration
- Break point estimators for a slope shift: levels versus first differences
- Stochastic approximation Monte Carlo Gibbs sampling for structural change inference in a Bayesian heteroscedastic time series model
- The limit distribution of the estimates in cointegrated regression models with multiple structural changes
- Unit root tests allowing for a break in the trend function at an unknown time under both the null and alternative hypotheses
- A Bayesian analysis of unit roots and structural breaks in the level, trend, and error variance of autoregressive models of economic series
- TESTING FOR UNIT ROOTS IN THE PRESENCE OF A POSSIBLE BREAK IN TREND AND NONSTATIONARY VOLATILITY
- Testing for a shift in trend at an unknown date: a fixed-b analysis of heteroskedasticity autocorrelation robust OLS-based tests
- A sequential procedure to determine the number of breaks in trend with an integrated or stationary noise component
- SIMPLE, ROBUST, AND POWERFUL TESTS OF THE BREAKING TREND HYPOTHESIS
- A comparison of alternative asymptotic frameworks to analyse a structural change in a linear time trend
- Spurious instrumental variables
- Testing for a unit root in the presence of a possible break in trend
- GLS-based unit root tests with multiple structural breaks under both the null and the alternative hypotheses
- Bayesian multiple structural change-points estimation in time series models with genetic algorithm
- Truncating estimation for the change in stochastic trend with heavy-tailed innovations
- Distinguishing between trend-break models: method and empirical evidence
- GENERALIZED LAPLACE INFERENCE IN MULTIPLE CHANGE-POINTS MODELS
- Unit roots, level shifts, and trend breaks in per capita output: a robust evaluation
- An evaluation of some methods used for determination of homogenous structural break point in mean of panel data
- Spurious regression between long memory series due to mis-specified structural breaks
- Deterministic parameter change models in continuous and discrete time
- A Bayesian multiple structural change regression model with autocorrelated errors
- Bootstrap procedures for variance breaks test in time series with a changing trend
- Segmenting mean-nonstationary time series via trending regressions
- Joint hypothesis specification for unit root tests with a structural break
- Testing for shifts in a time trend panel data model with serially correlated error component disturbances
- Estimation and identification of change points in panel models with nonstationary or stationary regressors and error term
- GLS estimation and confidence sets for the date of a single break in models with trends
- Structural changes and unit roots in non-stationary time series
- Evaluating the impact of environmental policy on the trend behavior of US emissions of nitrogen oxides and volatile organic compounds
- System Estimation of Panel Data Models Under Long-Range Dependence
- A note on asymptotic properties of time series models with a trend break
- Cointegrating polynomial regressions with power law trends
- Time series quantile regression kink with an unknown threshold
- A new test for unit roots with a partial quadratic trend
- Subsampling ratio tests for structural changes in time series with heavy-tailed AR( p ) errors
- Panel Data Cointegration Testing with Structural Instabilities
- A test for trend gradual changes in heavy tailed AR(p) sequences
- Continuous record asymptotics for change-point models
- Robust methods for detecting multiple level breaks in autocorrelated time series
- Estimating a common deterministic time trend break in large panels with cross sectional dependence
- Unit root testing under a local break in trend
- Uniform change point tests in high dimension
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