Estimating multiple breaks in nonstationary autoregressive models

DOI10.1016/j.jeconom.2020.06.005zbMath1464.62390OpenAlexW2914030703MaRDI QIDQ2225018

Lingjie Du, Terence Tai-Leung Chong, Tian-Xiao Pang

Publication date: 4 February 2021

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

Full work available at URL: https://mpra.ub.uni-muenchen.de/92074/1/MPRA_paper_92074.pdf

zbMATH Keywords

least squares estimatorchange pointfinancial bubblemildly integratedmildly explosive

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (4)

Asymptotic inference for moderate deviations from a unit root of nearly unstable INAR(1) processes ⋮ Penetrating sporadic return predictability ⋮ On the asymptotic behavior of bubble date estimators ⋮ Testing for explosive bubbles: a review

Uses Software

• basta

Cites Work

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