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Penalized least absolute deviations estimation for nonlinear model with change-points

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  • Gabriela Ciuperca

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    File URL: http://hdl.handle.net/10.1007/s00362-009-0236-6
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    Bibliographic Info

    Article provided by Springer in its journal Statistical Papers.

    Volume (Year): 52 (2011)
    Issue (Month): 2 (May)
    Pages: 371-390

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    Handle: RePEc:spr:stpapr:v:52:y:2011:i:2:p:371-390

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    Web page: http://www.springer.com/statistics/business/journal/362

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    Related research

    Keywords: Change-point; Parametric nonlinear model; SLAD estimator; Monte Carlo simulations; 62F12; 60J02; 62F40;

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    References

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    1. Perron, P. & Bai, J., 1995. "Estimating and Testing Linear Models with Multiple Structural Changes," Cahiers de recherche 9552, Universite de Montreal, Departement de sciences economiques.
    2. 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.
    3. Pollard, David, 1991. "Asymptotics for Least Absolute Deviation Regression Estimators," Econometric Theory, Cambridge University Press, vol. 7(02), pages 186-199, June.
    4. Bai, Jushan, 1995. "Least Absolute Deviation Estimation of a Shift," Econometric Theory, Cambridge University Press, vol. 11(03), pages 403-436, June.
    5. Wang, Lihong & Wang, Jinde, 2004. "The limiting behavior of least absolute deviation estimators for threshold autoregressive models," Journal of Multivariate Analysis, Elsevier, vol. 89(2), pages 243-260, May.
    6. Koul, Hira L. & Qian, Lianfen & Surgailis, Donatas, 2003. "Asymptotics of M-estimators in two-phase linear regression models," Stochastic Processes and their Applications, Elsevier, vol. 103(1), pages 123-154, January.
    7. Koenker, Roger & Bassett, Gilbert, Jr, 1982. "Tests of Linear Hypotheses and l[subscript]1 Estimation," Econometrica, Econometric Society, vol. 50(6), pages 1577-83, November.
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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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