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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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    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, 2010. "Multi-regime models for nonlinear nonstationary time series," Working Papers 026, COMISEF.
    2. Kurozumi, Eiji & Tuvaandorj, Purevdorj, 2011. "Model selection criteria in multivariate models with multiple structural changes," Journal of Econometrics, Elsevier, vol. 164(2), pages 218-238, October.
    3. Boldea, Otilia & Hall, Alastair R., 2013. "Estimation and inference in unstable nonlinear least squares models," Journal of Econometrics, Elsevier, vol. 172(1), pages 158-167.
    4. 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.
    5. 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.
    6. 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.
    7. 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.
    8. 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.

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