IDEAS home Printed from https://ideas.repec.org/a/spr/stpapr/v52y2011i1p203-217.html
   My bibliography  Save this article

Truncating estimation for the change in stochastic trend with heavy-tailed innovations

Author

Listed:
  • Ruibing Qin
  • Zheng Tian
  • Hao Jin

Abstract

No abstract is available for this item.

Suggested Citation

  • Ruibing Qin & Zheng Tian & Hao Jin, 2011. "Truncating estimation for the change in stochastic trend with heavy-tailed innovations," Statistical Papers, Springer, vol. 52(1), pages 203-217, February.
    • Handle: RePEc:spr:stpapr:v:52:y:2011:i:1:p:203-217
    DOI: 10.1007/s00362-009-0223-y
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1007/s00362-009-0223-y
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1007/s00362-009-0223-y?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Perron, Pierre & Zhu, Xiaokang, 2005. "Structural breaks with deterministic and stochastic trends," Journal of Econometrics, Elsevier, vol. 129(1-2), pages 65-119.
    2. Eric Zivot & Peter C.B. Phillips, 1991. "A Bayesian Analysis of Trend Determination in Economic Time Series," Cowles Foundation Discussion Papers 1002, Cowles Foundation for Research in Economics, Yale University.
    3. Bai, Jushan, 1995. "Least Absolute Deviation Estimation of a Shift," Econometric Theory, Cambridge University Press, vol. 11(3), pages 403-436, June.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Bruno Ebner & Bernhard Klar & Simos G. Meintanis, 2018. "Fourier inference for stochastic volatility models with heavy-tailed innovations," Statistical Papers, Springer, vol. 59(3), pages 1043-1060, September.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Cheong, Siew Ann & Fornia, Robert Paulo & Lee, Gladys Hui Ting & Kok, Jun Liang & Yim, Woei Shyr & Xu, Danny Yuan & Zhang, Yiting, 2011. "The Japanese economy in crises: A time series segmentation study," Economics Discussion Papers 2011-24, Kiel Institute for the World Economy (IfW Kiel).
    2. Cheong, Siew Ann & Fornia, Robert Paulo & Lee, Gladys Hui Ting & Kok, Jun Liang & Yim, Woei Shyr & Xu, Danny Yuan & Zhang, Yiting, 2012. "The Japanese economy in crises: A time series segmentation study," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 6, pages 1-81.
    3. Zhang, Yiting & Lee, Gladys Hui Ting & Wong, Jian Cheng & Kok, Jun Liang & Prusty, Manamohan & Cheong, Siew Ann, 2011. "Will the US economy recover in 2010? A minimal spanning tree study," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(11), pages 2020-2050.
    4. Matteo Mogliani, 2010. "Residual-based tests for cointegration and multiple deterministic structural breaks: A Monte Carlo study," Working Papers halshs-00564897, HAL.
    5. Vicente Esteve & Manuel Navarro-Ibáñez & María A. Prats, 2013. "The present value model of US stock prices revisited: long-run evidence with structural breaks, 1871-2010," Working Papers 04/13, Instituto Universitario de Análisis Económico y Social.
    6. Cavaliere, Giuseppe & Harvey, David I. & Leybourne, Stephen J. & Taylor, A.M. Robert, 2011. "Testing For Unit Roots In The Presence Of A Possible Break In Trend And Nonstationary Volatility," Econometric Theory, Cambridge University Press, vol. 27(5), pages 957-991, October.
    7. Felix Pretis & Michael Mann & Robert Kaufmann, 2015. "Testing competing models of the temperature hiatus: assessing the effects of conditioning variables and temporal uncertainties through sample-wide break detection," Climatic Change, Springer, vol. 131(4), pages 705-718, August.
    8. Yicong Lin & Hanno Reuvers, 2020. "Cointegrating Polynomial Regressions with Power Law Trends: Environmental Kuznets Curve or Omitted Time Effects?," Papers 2009.02262, arXiv.org, revised Dec 2021.
    9. Jingjing Yang, 2017. "Consistency of Trend Break Point Estimator with Underspecified Break Number," Econometrics, MDPI, vol. 5(1), pages 1-19, January.
    10. Kim, Dukpa & Oka, Tatsushi & Estrada, Francisco & Perron, Pierre, 2020. "Inference related to common breaks in a multivariate system with joined segmented trends with applications to global and hemispheric temperatures," Journal of Econometrics, Elsevier, vol. 214(1), pages 130-152.
    11. Moshe Buchinsky, 1998. "Recent Advances in Quantile Regression Models: A Practical Guideline for Empirical Research," Journal of Human Resources, University of Wisconsin Press, vol. 33(1), pages 88-126.
    12. Marilena Furno, 2011. "Goodness of Fit and Misspecification in Quantile Regressions," Journal of Educational and Behavioral Statistics, , vol. 36(1), pages 105-131, February.
    13. Fiteni, Inmaculada, 2004. "[tau]-estimators of regression models with structural change of unknown location," Journal of Econometrics, Elsevier, vol. 119(1), pages 19-44, March.
    14. 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.
    15. Ventosa-Santaulària Daniel & Gómez-Zaldívar Manuel, 2011. "Testing for a Deterministic Trend When There is Evidence of Unit Root," Journal of Time Series Econometrics, De Gruyter, vol. 2(2), pages 1-26, January.
    16. Noriega Antonio E. & Ventosa-Santaulària Daniel, 2006. "Spurious Regression and Econometric Trends," Working Papers 2006-05, Banco de México.
    17. Kim, Jinyoung, 2017. "Racing against Time in Research: A Study of the 1995 U.S. Patent Law Amendment," IZA Discussion Papers 10815, Institute of Labor Economics (IZA).
    18. Daniel Ventosa-Santaularia, 2007. "Spurious Instrumental Variables," Department of Economics and Finance Working Papers EM200704, Universidad de Guanajuato, Department of Economics and Finance, revised Mar 2009.
    19. Zaklan, Aleksandar & Abrell, Jan & Neumann, Anne, 2016. "Stationarity changes in long-run energy commodity prices," Energy Economics, Elsevier, vol. 59(C), pages 96-103.
    20. Francisco Estrada & Pierre Perron, 2019. "Breaks, Trends and the Attribution of Climate Change: A Time-Series Analysis," Revista Economía, Fondo Editorial - Pontificia Universidad Católica del Perú, vol. 42(83), pages 1-31.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:stpapr:v:52:y:2011:i:1:p:203-217. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.