AVERAGING ESTIMATORS FOR REGRESSIONS WITH A POSSIBLE STRUCTURAL BREAK

DOI10.1017/S0266466609990235zbMath1179.62119MaRDI QIDQ3652617

Bruce E. Hansen

Publication date: 15 December 2009

Published in: Econometric Theory (Search for Journal in Brave)

Mathematics Subject Classification ID

Related Items (16)

Frequentist model averaging for threshold models ⋮ Unnamed Item ⋮ Least squares model averaging for two non-nested linear models ⋮ Least squares model averaging by Mallows criterion ⋮ AVERAGING OF AN INCREASING NUMBER OF MOMENT CONDITION ESTIMATORS ⋮ ESTIMATION OF CHANGE-POINTS IN LINEAR AND NONLINEAR TIME SERIES MODELS ⋮ Averaging estimators for autoregressions with a near unit root ⋮ Model selection criteria in multivariate models with multiple structural changes ⋮ Does modeling a structural break improve forecast accuracy? ⋮ Least squares model averaging based on generalized cross validation ⋮ Model averaging for multiple quantile regression with covariates missing at random ⋮ Weighted-averaging estimator for possible threshold in segmented linear regression model ⋮ Reduced forms and weak instrumentation ⋮ Distribution theory of the least squares averaging estimator ⋮ Jackknife model averaging for quantile regressions ⋮ Structural-break models under mis-specification: implications for forecasting

Cites Work

• Tests for Parameter Instability and Structural Change With Unknown Change Point
• Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
• Least Squares Model Averaging
• Some Comments on C P

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