Nonparametric Detection and Estimation of Structural Change
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- Dennis Kristensen, 2012. "Non‐parametric detection and estimation of structural change," Econometrics Journal, Royal Economic Society, vol. 15(3), pages 420-461, October.
References listed on IDEAS
- Bai, Jushan, 1999. "Likelihood ratio tests for multiple structural changes," Journal of Econometrics, Elsevier, vol. 91(2), pages 299-323, August.
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- Adrian, Tobias & Crump, Richard K. & Moench, Emanuel, 2015.
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More about this item
Keywordsstructural change; regression; nonparametric; estimation; testing; generalized likelihood ratio; time-varying; locally stationary.;
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
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