Estimation of multiple-regime regressions with least absolutes deviation
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References listed on IDEAS
- Michael J. Dueker, 1992. "The response of market interest rates to discount rate changes," Review, Federal Reserve Bank of St. Louis, issue Jul, pages 78-91.
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- Oka, Tatsushi & Perron, Pierre, 2018.
"Testing for common breaks in a multiple equations system,"
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Elsevier, vol. 204(1), pages 66-85.
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- Tatsushi Oka & Pierre Perron, 2018. "Testing for common breaks in a multiple equations system," Monash Econometrics and Business Statistics Working Papers 3/18, Monash University, Department of Econometrics and Business Statistics.
- Tatsushi Oka & Pierre Perron, 2016. "Testing for Common Breaks in a Multiple Equations System," Papers 1606.00092, arXiv.org, revised Jan 2018.
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"Estimating structural changes in regression quantiles,"
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Elsevier, vol. 162(2), pages 248-267, June.
- Zhongjun Qu & Tatsushi Oka, 2010. "Estimating structural changes in regression quantiles," Boston University - Department of Economics - Working Papers Series WP2010-052, Boston University - Department of Economics.
- Venkata Jandhyala & Stergios Fotopoulos & Ian MacNeill & Pengyu Liu, 2013. "Inference for single and multiple change-points in time series," Journal of Time Series Analysis, Wiley Blackwell, vol. 34(4), pages 423-446, July.
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More about this item
KeywordsMultiple change points; multiple-regime regressions; least absolute deviation; asymptotic distribution;
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
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