Inference after estimation of breaks

DOI10.1016/j.jeconom.2020.07.036OpenAlexW4206908934MaRDI QIDQ2043254

Isaiah Andrews, Adam McCloskey, Toru Kitagawa

Publication date: 30 July 2021

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10419/211144

zbMATH Keywords

misspecificationthreshold regressionstructural breakssample splittingselective inference

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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Cites Work

• Likelihood Ratio Tests for Model Selection and Non-Nested Hypotheses
• Confidence sets for the date of a single break in linear time series regressions
• Exact post-selection inference, with application to the Lasso
• Confidence sets for split points in decision trees
• Uniform asymptotic inference and the bootstrap after model selection
• Selective inference with a randomized response
• Analyzing bagging
• Pre and post break parameter inference
• Tests for Parameter Instability and Structural Change With Unknown Change Point
• Inference in TAR Models
• Estimating and Testing Linear Models with Multiple Structural Changes
• Sample Splitting and Threshold Estimation
• A nondegenerate Vuong test
• Stepwise Multiple Testing as Formalized Data Snooping
• Asymptotics for change-point models under varying degrees of mis-specification

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