A comparison of alternative asymptotic frameworks to analyse a structural change in a linear time trend

DOI10.1111/j.1368-423X.2006.00192.xzbMath1111.62075MaRDI QIDQ3422392

Ai Deng, Pierre Perron

Publication date: 13 February 2007

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

zbMATH Keywords

confidence intervalssimulationschange-pointlevel shiftbounded trendcalibration to empirical time seriesshrinking shifts

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Related Items

Break point estimators for a slope shift: levels versus first differences ⋮ GENERALIZED LAPLACE INFERENCE IN MULTIPLE CHANGE-POINTS MODELS ⋮ GLS estimation and confidence sets for the date of a single break in models with trends ⋮ Simultaneous bandwidths determination for DK-HAC estimators and long-run variance estimation in nonparametric settings ⋮ Segmenting mean-nonstationary time series via trending regressions ⋮ Continuous record Laplace-based inference about the break date in structural change models ⋮ Inference on a Structural Break in Trend with Fractionally Integrated Errors

Cites Work

• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Structural breaks with deterministic and stochastic trends
• Testing and estimating change-points in time series
• Testing For and Dating Common Breaks in Multivariate Time Series
• Estimating and Testing Linear Models with Multiple Structural Changes
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
• Nonlinear Econometric Models with Deterministically Trending Variables