Structural Break Inference Using Information Criteria in Models Estimated by Two‐Stage Least Squares
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Publication:3192404
DOI10.1111/jtsa.12107zbMath1329.62345OpenAlexW1591872090MaRDI QIDQ3192404
Nikolaos D. Sakkas, Alastair R. Hall, Denise R. Osborn
Publication date: 12 October 2015
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/jtsa.12107
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05) Point estimation (62F10) Diagnostics, and linear inference and regression (62J20)
Related Items (3)
Multi-Threshold Structural Equation Model ⋮ Bootstrapping structural change tests ⋮ The asymptotic behaviour of the residual sum of squares in models with multiple break points
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