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Averaging Estimators For Regressions With A Possible Structural Break

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  • Hansen, Bruce E.

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Bibliographic Info

Article provided by Cambridge University Press in its journal Econometric Theory.

Volume (Year): 25 (2009)
Issue (Month): 06 (December)
Pages: 1498-1514

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Handle: RePEc:cup:etheor:v:25:y:2009:i:06:p:1498-1514_99

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Cited by:
  1. 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.
  2. Boonsoo Koo & Myung Hwan Seo, 2013. "Structural-break models under mis-specification: implications for forecasting," Monash Econometrics and Business Statistics Working Papers 8/13, Monash University, Department of Econometrics and Business Statistics.
  3. Elena Andreou & Eric Ghysels & Constantinos Kourouyiannis, 2012. "Robust volatility forecasts in the presence of structural breaks," University of Cyprus Working Papers in Economics 08-2012, University of Cyprus Department of Economics.
  4. Gallegati, Marco & Ramsey, James B., 2013. "Structural change and phase variation: A re-examination of the q-model using wavelet exploratory analysis," Structural Change and Economic Dynamics, Elsevier, vol. 25(C), pages 60-73.
  5. Hansen, Bruce E., 2010. "Averaging estimators for autoregressions with a near unit root," Journal of Econometrics, Elsevier, vol. 158(1), pages 142-155, September.
  6. Liu, Chu-An, 2012. "A plug-in averaging estimator for regressions with heteroskedastic errors," MPRA Paper 41414, University Library of Munich, Germany.

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