Asymptotics of M-estimators in two-phase linear regression models
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References listed on IDEAS
- Jushan Bai & Pierre Perron, 1998.
"Estimating and Testing Linear Models with Multiple Structural Changes,"
Econometric Society, vol. 66(1), pages 47-78, January.
- 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.
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- Müller, Hans-Georg & Song, Kai-Sheng, 1997. "Two-stage change-point estimators in smooth regression models," Statistics & Probability Letters, Elsevier, vol. 34(4), pages 323-335, June.
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- Gabriela Ciuperca, 2011. "Penalized least absolute deviations estimation for nonlinear model with change-points," Statistical Papers, Springer, vol. 52(2), pages 371-390, May.
- repec:bla:jtsera:v:38:y:2017:i:1:p:99-119 is not listed on IDEAS
- Gill, Ryan & Lee, Kiseop & Song, Seongjoo, 2007. "Computation of estimates in segmented regression and a liquidity effect model," Computational Statistics & Data Analysis, Elsevier, vol. 51(12), pages 6459-6475, August.
- Dupuy, Jean-François, 2006. "Estimation in a change-point hazard regression model," Statistics & Probability Letters, Elsevier, vol. 76(2), pages 182-190, January.
- Fujii, Takayuki, 2008. "On weak convergence of the likelihood ratio process in multi-phase regression models," Statistics & Probability Letters, Elsevier, vol. 78(14), pages 2066-2074, October.
- Perera, Indeewara & Koul, Hira L., 2017. "Fitting a two phase threshold multiplicative error model," Journal of Econometrics, Elsevier, vol. 197(2), pages 348-367.
- Müller, Ursula U. & Schick, Anton & Wefelmeyer, Wolfgang, 2015. "Estimators in step regression models," Statistics & Probability Letters, Elsevier, vol. 100(C), pages 124-129.
- Zhang, Li-Xin & Chan, Wai-Sum & Cheung, Siu-Hung & Hung, King-Chi, 2009. "A note on the consistency of a robust estimator for threshold autoregressive processes," Statistics & Probability Letters, Elsevier, vol. 79(6), pages 807-813, March.
- Ciuperca, Gabriela, 2009. "The M-estimation in a multi-phase random nonlinear model," Statistics & Probability Letters, Elsevier, vol. 79(5), pages 573-580, March.
- Ciuperca, Gabriela, 2011. "A general criterion to determine the number of change-points," Statistics & Probability Letters, Elsevier, vol. 81(8), pages 1267-1275, August.
More about this item
KeywordsChange-point estimator Fixed jump size Compound Poisson process;
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