Least squares estimation of a shift in linear processes
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References listed on IDEAS
- Ploberger, W & Kramer, W & Alt, R, 1989.
"A Modification of the CUSUM Test in the Linear Regression Model with Lagged Dependent Variables,"
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- Rafael Di Tella & Ernesto Schargrodsky, 2004. "Do Police Reduce Crime? Estimates Using the Allocation of Police Forces After a Terrorist Attack," American Economic Review, American Economic Association, vol. 94(1), pages 115-133, March.
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More about this item
KeywordsMean shift; linear processes; change point; rate of convergence; order estimation; generalized residuals;
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: 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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