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Structural Break Estimation for Nonstationary Time Series Models

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  • Davis, Richard A.
  • Lee, Thomas C.M.
  • Rodriguez-Yam, Gabriel A.
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    File URL: http://www.ingentaconnect.com/content/asa/jasa/2006/00000101/00000473/art00024
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    Bibliographic Info

    Article provided by American Statistical Association in its journal Journal of the American Statistical Association.

    Volume (Year): 101 (2006)
    Issue (Month): (March)
    Pages: 223-239

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    Handle: RePEc:bes:jnlasa:v:101:y:2006:p:223-239

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    Cited by:
    1. Francesco Battaglia & Mattheos K. Protopapas, 2011. "Time‐varying multi‐regime models fitting by genetic algorithms," Journal of Time Series Analysis, Wiley Blackwell, vol. 32(3), pages 237-252, 05.
    2. Francesco Battaglia & Mattheos Protopapas, 2012. "Multi–regime models for nonlinear nonstationary time series," Computational Statistics, Springer, vol. 27(2), pages 319-341, June.
    3. Luis A. Gil-Alana & Antonio Moreno, 2009. "Fractional Integration and Structural Breaks in U.S. Macro Dynamics," Faculty Working Papers 02/09, School of Economics and Business Administration, University of Navarra.
    4. Francesco Battaglia & Mattheos K. Protopapas, 2010. "Multi-regime models for nonlinear nonstationary time series," Working Papers 026, COMISEF.
    5. Piotr Fryzlewicz & Guy P. Nason, 2006. "Haar-Fisz estimation of evolutionary wavelet spectra," LSE Research Online Documents on Economics 25227, London School of Economics and Political Science, LSE Library.
    6. Olsen, Lena Ringstad & Chaudhuri, Probal & Godtliebsen, Fred, 2008. "Multiscale spectral analysis for detecting short and long range change points in time series," Computational Statistics & Data Analysis, Elsevier, vol. 52(7), pages 3310-3330, March.
    7. Siem Jan Koopman & Soon Yip Wong, 2006. "Extracting Business Cycles using Semi-parametric Time-varying Spectra with Applications to US Macroeconomic Time Series," Tinbergen Institute Discussion Papers 06-105/4, Tinbergen Institute.
    8. Otilia Boldea & Alastair R. Hall, 2009. "Estimation and Inference in Unstable Nonlinear Least Squares Models," Centre for Growth and Business Cycle Research Discussion Paper Series 126, Economics, The Univeristy of Manchester.
    9. Marcos Prates & Renato Assunção & Marcelo Costa, 2012. "Flexible scan statistic test to detect disease clusters in hierarchical trees," Computational Statistics, Springer, vol. 27(4), pages 715-737, December.
    10. Francesco Battaglia & Mattheos Protopapas, 2012. "An analysis of global warming in the Alpine region based on nonlinear nonstationary time series models," Statistical Methods and Applications, Springer, vol. 21(3), pages 315-334, August.
    11. repec:wyi:wpaper:002009 is not listed on IDEAS
    12. Ana Badagián & Regina Kaiser & Daniel Peña, 2013. "The change-point problem and segmentation of processes with conditional heteroskedasticity," Statistics and Econometrics Working Papers ws131718, Universidad Carlos III, Departamento de Estadística y Econometría.
    13. Ana Badagian & Regina Kaiser & Daniel Pena, 2009. "Time series segmentation by Cusum, AutoSLEX and AutoPARM methods," Statistics and Econometrics Working Papers ws098025, Universidad Carlos III, Departamento de Estadística y Econometría.
    14. Billat, Véronique L. & Mille-Hamard, Laurence & Meyer, Yves & Wesfreid, Eva, 2009. "Detection of changes in the fractal scaling of heart rate and speed in a marathon race," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(18), pages 3798-3808.
    15. Chen, Yen-Hung & Hsu, Nan-Jung, 2014. "A frequency domain test for detecting nonstationary time series," Computational Statistics & Data Analysis, Elsevier, vol. 75(C), pages 179-189.
    16. Eiji Kurozumi & Purevdorj Tuvaandorj, 2010. "Model Selection Criteria in Multivariate Models with Multiple Structural Changes," Global COE Hi-Stat Discussion Paper Series gd10-144, Institute of Economic Research, Hitotsubashi University.
    17. Siem Jan Koopman & Soon Yip Wong, 2006. "Extracting Business Cycles using Semi-parametric Time-varying Spectra with Applications to US Macroeconomic Time Series," Tinbergen Institute Discussion Papers 06-105/4, Tinbergen Institute.
    18. Brown, Graham K. & Langer, Arnim, 2011. "Riding the Ever-Rolling Stream: Time and the Ontology of Violent Conflict," World Development, Elsevier, vol. 39(2), pages 188-198, February.

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