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Estimation of multiple-regime regressions with least absolutes deviation

  • Jushan, Bai

This paper considers least absolute deviations estimation of a regression model with multiple change points occurring at unknown times. Some asymptotic results, including rates of convergence and asymptotic distributions, for the estimated change points and the estimated regression coefficient are derived. Results are obtained without assuming that each regime spans a positive fraction of the sample size. In addition, the number of change points is allowed to grow as the sample size increases. Estimation of the number of change points is also considered. A feasible computational algorithm is developed. An application is also given, along with some monte carlo simulations.

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File URL: http://mpra.ub.uni-muenchen.de/32916/1/MPRA_paper_32916.pdf
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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 32916.

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Date of creation: Feb 1995
Date of revision: Feb 1998
Publication status: Published in Journal of Statistical Planning and Inference 1.74(1998): pp. 103-134
Handle: RePEc:pra:mprapa:32916
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  1. V. Vance Roley & Simon M. Wheatley, 1990. "Temporal Variation in the Interest-Rate Response to Money Announcements," NBER Working Papers 3471, National Bureau of Economic Research, Inc.
  2. Gombay, Edit & Horváth, Lajos, 1994. "Limit theorems for change in linear regression," Journal of Multivariate Analysis, Elsevier, vol. 48(1), pages 43-69, January.
  3. Bai, Jushan, 1995. "Least Absolute Deviation Estimation of a Shift," Econometric Theory, Cambridge University Press, vol. 11(03), pages 403-436, June.
  4. 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.
  5. Pollard, David, 1991. "Asymptotics for Least Absolute Deviation Regression Estimators," Econometric Theory, Cambridge University Press, vol. 7(02), pages 186-199, June.
  6. Bhattacharya, P.K., 1987. "Maximum likelihood estimation of a change-point in the distribution of independent random variables: General multiparameter case," Journal of Multivariate Analysis, Elsevier, vol. 23(2), pages 183-208, December.
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