Estimation of a Structural Break Point in Linear Regression Models

DOI10.1080/07350015.2022.2154777arXiv1811.03720OpenAlexW2899697949MaRDI QIDQ6150351

Unnamed Author

Publication date: 6 March 2024

Published in: Journal of Business & Economic Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1811.03720

zbMATH Keywords

structural changechange pointparameter instability

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites Work

• Confidence sets for the date of a single break in linear time series regressions
• Approximating the distribution of the maximum likelihood estimate of the change-point in a sequence of independent random variables
• Bootstrap procedures under some non-i.i.d. models
• Maximum likelihood estimation of a change-point in the distribution of independent random variables: general multiparameter case
• A maximal inequality and dependent strong laws
• New distribution theory for the estimation of structural break point in mean
• Pre and post break parameter inference
• STRUCTURAL CHANGE IN AR(1) MODELS
• ASYMPTOTIC INFERENCES FOR AN AR(1) MODEL WITH A CHANGE POINT: STATIONARY AND NEARLY NON-STATIONARY CASES
• Testing For and Dating Common Breaks in Multivariate Time Series
• LEAST SQUARES ESTIMATION OF A SHIFT IN LINEAR PROCESSES
• Estimating and Testing Linear Models with Multiple Structural Changes
• STRUCTURAL CHANGE IN NONSTATIONARY AR(1) MODELS
• Inference about the change-point in a sequence of random variables
• A Test of Goodness of Fit

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