Generic consistency of the break-point estimators under specification errors in a multiple-break model
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Publication:3521276
DOI10.1111/j.1368-423X.2008.00237.xzbMath1141.91633OpenAlexW2143762562MaRDI QIDQ3521276
Terence Tai-Leung Chong, Seraph Xin Wang, Jushan Bai, Hai-Qiang Chen
Publication date: 21 August 2008
Published in: Econometrics Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1368-423x.2008.00237.x
Related Items (8)
Theory and Applications of TAR Model with Two Threshold Variables ⋮ STRUCTURAL CHANGE IN NONSTATIONARY AR(1) MODELS ⋮ Estimation and inference of threshold regression models with measurement errors ⋮ Consistency of the least squares estimator in threshold regression with endogeneity ⋮ Inference regarding multiple structural changes in linear models with endogenous regressors ⋮ An Omnibus Test for Time Series ModelI(d) ⋮ Approximate p-Values of Certain Tests Involving Hypotheses About Multiple Breaks ⋮ Structural-break models under mis-specification: implications for forecasting
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- Generic consistency of the break‐point estimator under specification errors
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- OPTIMAL SIMILAR TESTS FOR STRUCTURAL CHANGE FOR THE LINEAR REGRESSION MODEL
- Convergence of stochastic processes
- Estimating the locations and number of change points by the sample-splitting method
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