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Estimating nonlinear regression with and without change-points by the LAD method

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  • Gabriela Ciuperca

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    File URL: http://hdl.handle.net/10.1007/s10463-009-0256-y
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    Bibliographic Info

    Article provided by Springer in its journal Annals of the Institute of Statistical Mathematics.

    Volume (Year): 63 (2011)
    Issue (Month): 4 (August)
    Pages: 717-743

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    Handle: RePEc:spr:aistmt:v:63:y:2011:i:4:p:717-743

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    Web page: http://www.springerlink.com/link.asp?id=102845

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    Related research

    Keywords: Asymptotic properties; Change-point; LAD estimator; Parametric model;

    References

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    1. Perron, P. & Bai, J., 1995. "Estimating and Testing Linear Models with Multiple Structural Changes," Cahiers de recherche 9552, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
    2. Donald W.K. Andrews & Inpyo Lee & Werner Ploberger, 1992. "Optimal Changepoint Tests for Normal Linear Regression," Cowles Foundation Discussion Papers 1016, Cowles Foundation for Research in Economics, Yale University.
    3. Wu, Yuehua, 1988. "Strong consistency and exponential rate of the "minimum L1-norm" estimates in linear regression models," Computational Statistics & Data Analysis, Elsevier, vol. 6(3), pages 285-295, April.
    4. Serbinowska, Monika, 1996. "Consistency of an estimator of the number of changes in binomial observations," Statistics & Probability Letters, Elsevier, vol. 29(4), pages 337-344, September.
    5. Weiss, Andrew A., 1991. "Estimating Nonlinear Dynamic Models Using Least Absolute Error Estimation," Econometric Theory, Cambridge University Press, vol. 7(01), pages 46-68, March.
    6. Garcia, R. & Perron, P., 1990. "An Anlysis Of The Real Interest Rate Under Regime Shifts," Papers 353, Princeton, Department of Economics - Econometric Research Program.
    7. Kühn, Christoph, 2001. "An estimator of the number of change points based on a weak invariance principle," Statistics & Probability Letters, Elsevier, vol. 51(2), pages 189-196, January.
    8. Lavielle, Marc, 1999. "Detection of multiple changes in a sequence of dependent variables," Stochastic Processes and their Applications, Elsevier, vol. 83(1), pages 79-102, September.
    9. Bai, Jushan, 1995. "Least Absolute Deviation Estimation of a Shift," Econometric Theory, Cambridge University Press, vol. 11(03), pages 403-436, June.
    10. Pollard, David, 1991. "Asymptotics for Least Absolute Deviation Regression Estimators," Econometric Theory, Cambridge University Press, vol. 7(02), pages 186-199, June.
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    Cited by:
    1. Ciuperca, Gabriela, 2011. "A general criterion to determine the number of change-points," Statistics & Probability Letters, Elsevier, vol. 81(8), pages 1267-1275, August.

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