Model selection criteria in multivariate models with multiple structural changes

DOI10.1016/j.jeconom.2011.04.003zbMath1441.62786OpenAlexW1986928718MaRDI QIDQ738024

Eiji Kurozumi, Purevdorj Tuvaandorj

Publication date: 12 August 2016

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

Full work available at URL: http://gcoe.ier.hit-u.ac.jp/research/discussion/2008/pdf/gd10-144.pdf

zbMATH Keywords

AICBICstructural breaksinformation criteriaMallows' \(C_p\)

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05) Statistical aspects of information-theoretic topics (62B10)

Related Items (9)

Tests of the co-integration rank in VAR models in the presence of a possible break in trend at an unknown point ⋮ Likelihood-ratio-based confidence sets for the timing of structural breaks ⋮ Unnamed Item ⋮ Level shift estimation in the presence of non-stationary volatility with an application to the unit root testing problem ⋮ Multiple change-points detection by empirical Bayesian information criteria and Gibbs sampling induced stochastic search ⋮ Testing for common breaks in a multiple equations system ⋮ Estimating DNA methylation levels by joint modeling of multiple methylation profiles from microarray data ⋮ Structural breaks in time series ⋮ The asymptotic behaviour of the residual sum of squares in models with multiple break points

Cites Work

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