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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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  • Gabriela Ciuperca, 2011. "Penalized least absolute deviations estimation for nonlinear model with change-points," Statistical Papers, Springer, vol. 52(2), pages 371-390, May.
  • Handle: RePEc:spr:stpapr:v:52:y:2011:i:2:p:371-390 DOI: 10.1007/s00362-009-0236-6
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    References listed on IDEAS

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    1. 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.
    2. Ng, S. & Pinkse, J., 1995. "Nonparametric-two-Step Estimation of Unknown Regression Functions when the Regressors and the Regression Error Are not Independent," Cahiers de recherche 9551, Universite de Montreal, Departement de sciences economiques.
    3. Koenker, Roger & Bassett, Gilbert, Jr, 1982. "Tests of Linear Hypotheses and l[subscript]1 Estimation," Econometrica, Econometric Society, vol. 50(6), pages 1577-1583, November.
    4. 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.
    5. Bai, Jushan, 1995. "Least Absolute Deviation Estimation of a Shift," Econometric Theory, Cambridge University Press, vol. 11(03), pages 403-436, June.
    6. Jushan Bai & Pierre Perron, 1998. "Estimating and Testing Linear Models with Multiple Structural Changes," Econometrica, Econometric Society, pages 47-78.
    7. 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.
    8. 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. Noriah Al-Kandari & Emad-Eldin Aly, 2014. "An ANOVA-type test for multiple change points," Statistical Papers, Springer, pages 1159-1178.
    2. Gabriela Ciuperca & Zahraa Salloum, 2015. "Empirical likelihood test in a posteriori change-point nonlinear model," Metrika: International Journal for Theoretical and Applied Statistics, Springer, pages 919-952.
    3. Ciuperca, Gabriela, 2011. "A general criterion to determine the number of change-points," Statistics & Probability Letters, Elsevier, pages 1267-1275.

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