The asymptotic behaviour of the residual sum of squares in models with multiple break points
From MaRDI portal
Publication:5864643
DOI10.1080/07474938.2017.1307523OpenAlexW2136944412MaRDI QIDQ5864643
Alastair R. Hall, Denise R. Osborn, Nikolaos D. Sakkas
Publication date: 8 June 2022
Published in: Econometric Reviews (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07474938.2017.1307523
nonlinear modelslinear modelsordinary least squarestwo-stage least squaresUS monetary policyparameter change
Cites Work
- Unnamed Item
- Estimating restricted structural change models
- Confidence sets for the date of a single break in linear time series regressions
- Inference regarding multiple structural changes in linear models with endogenous regressors
- Estimation and inference in unstable nonlinear least squares models
- Model selection criteria in multivariate models with multiple structural changes
- Approximating the distribution of the maximum likelihood estimate of the change-point in a sequence of independent random variables
- The location of the maximum and asymmetric two-sided Brownian motion with triangular drift
- Information criterion for Gaussian change-point model
- ESTIMATION OF CHANGE-POINTS IN LINEAR AND NONLINEAR TIME SERIES MODELS
- Structural Break Inference Using Information Criteria in Models Estimated by Two‐Stage Least Squares
- Inference in TAR Models
- A Generalized R^2 Criterion for Regression Models Estimated by the Instrumental Variables Method
- Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory*
- Estimating and Testing Linear Models with Multiple Structural Changes
- Sample Splitting and Threshold Estimation
- Likelihood-ratio-based confidence sets for the timing of structural breaks
- A DEFENSE OF THE FOMC*
- Optimal Detection of Changepoints With a Linear Computational Cost
- Asymptotic Distribution Theory for Break Point Estimators in Models Estimated via 2SLS
- Estimating and Testing Structural Changes in Multivariate Regressions
- Econometric Theory and Practice
