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Citations for "Optimal changepoint tests for normal linear regression"

by Andrews, Donald W. K. & Lee, Inpyo & Ploberger, Werner

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  1. Smith, Aaron D., 2004. "Forecasting in the Presence of Level Shifts," Working Papers 11985, University of California, Davis, Department of Agricultural and Resource Economics.
  2. Feldstein, Martin & Stock, James H., 1996. "Measuring money growth when financial markets are changing," Journal of Monetary Economics, Elsevier, vol. 37(1), pages 3-27, February.
  3. Vicente Esteve & Francisco Requena, 2006. "A Cointegration Analysis of Car Advertising and Sales Data in the Presence of Structural Change," International Journal of the Economics of Business, Taylor & Francis Journals, vol. 13(1), pages 111-128.
  4. John M. Maheu & Stephen Gordon, 2004. "Learning, Forecasting and Structural Breaks," Cahiers de recherche 0422, CIRPEE.
  5. Dominique Guegan & Philippe De Peretti, 2011. "Tests of structural changes in conditional distributions with unknown changepoints," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00611932, HAL.
  6. Jose Olmo & William Pouliot, 2014. "Tests to Disentangle Breaks in Intercept from Slope in Linear Regression Models with Application to Management Performance in the Mutual Fund Industry," Discussion Papers 14-02, Department of Economics, University of Birmingham.
  7. Kurozumi, Eiji & Tuvaandorj, Purevdorj, 2011. "Model selection criteria in multivariate models with multiple structural changes," Journal of Econometrics, Elsevier, vol. 164(2), pages 218-238, October.
  8. Stephen M. Miller & Luis Filipe Martins & Rangan Gupta, 2014. "A Time-Varying Approach of the US Welfare Cost of Inflation," Working Papers 2014-474, Department of Research, Ipag Business School.
  9. Gabriela Ciuperca, 2011. "Estimating nonlinear regression with and without change-points by the LAD method," Annals of the Institute of Statistical Mathematics, Springer, vol. 63(4), pages 717-743, August.
  10. Cimadomo, Jacopo & Bénassy-Quéré, Agnès, 2012. "Changing patterns of fiscal policy multipliers in Germany, the UK and the US," Journal of Macroeconomics, Elsevier, vol. 34(3), pages 845-873.
  11. Dukpa Kim & Pierre Perron, 2006. "Assessing the Relative Power of Structural Break Tests Using a Framework Based on the Approximate Bahadur Slope," Boston University - Department of Economics - Working Papers Series WP2006-063, Boston University - Department of Economics.
  12. El-Shagi, Makram & Giesen, Sebastian & Jung, Alexander, 2014. "Does the federal reserve staff still beat private forecasters?," Working Paper Series 1635, European Central Bank.
  13. Breitung, Jörg & Eickmeier, Sandra, 2011. "Testing for structural breaks in dynamic factor models," Journal of Econometrics, Elsevier, vol. 163(1), pages 71-84, July.
  14. Bajo-Rubio, Oscar & Diaz-Roldan, Carmen & Esteve, Vicente, 2007. "Change of regime and Phillips curve stability: The case of Spain, 1964-2002," Journal of Policy Modeling, Elsevier, vol. 29(3), pages 453-462.
  15. Jamel Jouini, 2010. "Bootstrap methods for single structural change tests: power versus corrected size and empirical illustration," Statistical Papers, Springer, vol. 51(1), pages 85-109, January.
  16. Konstantin A. Kholodilin & Boriss Siliverstovs, 2005. "On the Forecasting Properties of the Alternative Leading Indicators for the German GDP: Recent Evidence," Discussion Papers of DIW Berlin 522, DIW Berlin, German Institute for Economic Research.
  17. Arjen Siegmann & Denitsa Stefanova, 2011. "Market Liquidity and Exposure of Hedge Funds," Tinbergen Institute Discussion Papers 11-150/2/DSF27, Tinbergen Institute.
  18. Sahbi FARHANI, 2012. "Tests of Parameters Instability: Theoretical Study and Empirical Analysis on Two Types of Models (ARMA Model and Market Model)," International Journal of Economics and Financial Issues, Econjournals, vol. 2(3), pages 246-266.
  19. Maria Heracleous & Andreas Koutris & Aris Spanos, 2006. "Testing for Structural Breaks and other forms of Non-stationarity: a Misspecification Perspective," Computing in Economics and Finance 2006 493, Society for Computational Economics.
  20. Makram El-Shagi & Sebastian Giesen, 2010. "Testing for Structural Breaks at Unknown Time: A Steeplechase," IWH Discussion Papers 19, Halle Institute for Economic Research.
  21. M Hashem Pesaran & Andreas Pick & Mikhail Pranovich, 2011. "Optimal Forecasts in the Presence of Structural Breaks," DNB Working Papers 327, Netherlands Central Bank, Research Department.
  22. Steland, Ansgar, 2003. "Jump-preserving monitoring of dependent time series using pilot estimators," Technical Reports 2004,03, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
  23. Edge, Rochelle M. & Laubach, Thomas & Williams, John C., 2007. "Learning and shifts in long-run productivity growth," Journal of Monetary Economics, Elsevier, vol. 54(8), pages 2421-2438, November.
  24. Kurozumi, Eiji & Arai, Yoichi, 2005. "Efficient Estimation and Inference in Cointegrating Regressions with Structural Change," Discussion Papers 2004-09, Graduate School of Economics, Hitotsubashi University.
  25. Cunado Eizaguirre, Juncal & Biscarri, Javier Gomez & Hidalgo, Fernando Perez de Gracia, 2004. "Structural changes in volatility and stock market development: Evidence for Spain," Journal of Banking & Finance, Elsevier, vol. 28(7), pages 1745-1773, July.
  26. Donald W.K. Andrews & Werner Ploberger, 1993. "Admissibility of the Likelihood Ratio Test When a Nuisance Parameter Is Present OnlyUnder the Alternative," Cowles Foundation Discussion Papers 1058, Cowles Foundation for Research in Economics, Yale University.
  27. James H. Stock & Mark W. Watson, 1996. "Asymptotically Median Unbiased Estimation of Coefficient Variance in a Time Varying Parameter Model," NBER Technical Working Papers 0201, National Bureau of Economic Research, Inc.
  28. Bin Chen & Yongmiao Hong, 2013. "Detecting for Smooth Structural Changes in GARCH Models," Papers 2013-10-14, Working Paper.
  29. Eiji Kurozumi, 2012. "Testing for Multiple Structural Changes with Non-Homogeneous Regressors," Global COE Hi-Stat Discussion Paper Series gd11-227, Institute of Economic Research, Hitotsubashi University.
  30. Joseph P. Byrne & Roger Perman, 2006. "Unit Roots and Structural Breaks: A Survey of the Literature," Working Papers 2006_10, Business School - Economics, University of Glasgow.
  31. Oleg Glouchakov, 2006. "Joint change point estimation in regression coeffcients and variances of the errors of a linear model," Working Papers 2006_3, York University, Department of Economics.
  32. Andrew J. Patton & Tarun Ramadorai, 2013. "On the High-Frequency Dynamics of Hedge Fund Risk Exposures," Journal of Finance, American Finance Association, vol. 68(2), pages 597-635, 04.
  33. James H. Stock & Mark W. Watson, 1994. "Evidence on Structural Instability in Macroeconomic Time Series Relations," NBER Technical Working Papers 0164, National Bureau of Economic Research, Inc.
  34. Dandan Liu & Rui Li & Zijun Wang, 2011. "Testing for structural breaks in panel varying coefficient models: with an application to OECD health expenditure," Empirical Economics, Springer, vol. 40(1), pages 95-118, February.
  35. Dominique Guegan & Philippe De Peretti, 2012. "An Omnibus Test to Detect Time-Heterogeneity in Time Series," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00721327, HAL.
  36. Walter Enders & Gary Hoover, 2003. "The effect of robust growth on poverty: a nonlinear analysis," Applied Economics, Taylor & Francis Journals, vol. 35(9), pages 1063-1071.
  37. Isakov , Alexander, 2013. "Stress indicator construction for internal money market," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 30(2), pages 77-92.
  38. Jürgen Jerger & Oke Röhe, 2009. "Testing for Parameter Stability in DSGE Models. The Cases of France, Germany and Spain," Working Papers 276, Institut für Ost- und Südosteuropaforschung (Institute for East and South-East European Studies), revised Mar 2011.
  39. Vicente Esteve, . "Política fiscal y productividad del trabajo en la economía española: Un análisis de series temporales," Studies on the Spanish Economy 156, FEDEA.
  40. Arjen Siegmann & Denitsa Stefanova, 2011. "Market Liquidity and Exposure of Hedge Funds," Tinbergen Institute Discussion Papers 11-150/2/DSF27, Tinbergen Institute.
  41. BAI, Jushan & PERRON, Pierre, 1998. "Computation and Analysis of Multiple Structural-Change Models," Cahiers de recherche 9807, Universite de Montreal, Departement de sciences economiques.
  42. Colin A. Carter & Aaron Smith, 2007. "Estimating the Market Effect of a Food Scare: The Case of Genetically Modified StarLink Corn," The Review of Economics and Statistics, MIT Press, vol. 89(3), pages 522-533, August.
  43. Pesaran, M.H. & Pick, A. & Pranovich, M., 2011. "Optimal Forecasts in the Presence of Structural Breaks (Updated 14 November 2011)," Cambridge Working Papers in Economics 1163, Faculty of Economics, University of Cambridge.
  44. Rochelle Edge & Thomas Laubach, 2004. "Learning and Shifts in Long-Run Growth," Computing in Economics and Finance 2004 123, Society for Computational Economics.
  45. Eskandar Elmarzougui & Bruno Larue, 2013. "On the Evolving Relationship Between Corn and Oil Prices," Agribusiness, John Wiley & Sons, Ltd., vol. 29(3), pages 344-360, 06.
  46. Allan Timmermann & M. Hashem Pesaran, 2003. "How Costly is it to Ignore Breaks when Forecasting the Direction of a Time Series?," CESifo Working Paper Series 875, CESifo Group Munich.
  47. Somayeh Mardaneh, 2012. "How Do Oil Shocks A¤ect the Structural Stability of Hybrid New Keynesian Phillips Curve?," Discussion Papers in Economics 12/20, Department of Economics, University of Leicester.
  48. repec:hal:wpaper:halshs-00721327 is not listed on IDEAS
  49. Perron, Pierre, 1997. "L’estimation de modèles avec changements structurels multiples," L'Actualité Economique, Société Canadienne de Science Economique, vol. 73(1), pages 457-505, mars-juin.
  50. Martin Sommer, 2002. "Supply Shocks and the Persistence of Inflation," Economics Working Paper Archive 485, The Johns Hopkins University,Department of Economics.
  51. Vasco J. Gabriel & Luis F. Martins, 2000. "The Properties of Cointegration Tests in Models with Structural Change," NIPE Working Papers 1/2000, NIPE - Universidade do Minho.
  52. Li, Hong, 2008. "Estimation and testing of Euler equation models with time-varying reduced-form coefficients," Journal of Econometrics, Elsevier, vol. 142(1), pages 425-448, January.
  53. Jamel Jouini, 2006. "Bootstrap Tests in Bivariate VAR Process with Single Structural Change : Power versus Corrected Size and Empirical Illustration," Working Papers halshs-00410759, HAL.
  54. Giovanni Forchini, 2005. "Weighted Average Power Similar Tests for Structural Change for the Gaussian Linear Regression Model," Monash Econometrics and Business Statistics Working Papers 20/05, Monash University, Department of Econometrics and Business Statistics.
  55. Qu, Zhongjun, 2008. "Testing for structural change in regression quantiles," Journal of Econometrics, Elsevier, vol. 146(1), pages 170-184, September.
  56. Denitsa Stefanova & Arjen Siegmann, 2014. "The Evolving Beta-Liquidity Relationship of Hedge Funds," LSF Research Working Paper Series 14-12, Luxembourg School of Finance, University of Luxembourg.
  57. Pancrazi, Roberto, 2015. "The heterogeneous Great Moderation," European Economic Review, Elsevier, vol. 74(C), pages 207-228.
  58. Makram El-Shagi & Sebastian Giesen & A. Jung, 2012. "Does Central Bank Staff Beat Private Forecasters?," IWH Discussion Papers 5, Halle Institute for Economic Research.
  59. Giovanni Forchini, . "The Geometry of Similar Tests for Structural Change," Discussion Papers 00/55, Department of Economics, University of York.
  60. Travaglini, Guido, 2007. "The U.S. Dynamic Taylor Rule With Multiple Breaks, 1984-2001," MPRA Paper 3419, University Library of Munich, Germany, revised 15 Jun 2007.
  61. Ogura, Manami, 2011. "Testing for structural break in Japanese demand system after the bubble era," Structural Change and Economic Dynamics, Elsevier, vol. 22(3), pages 277-286, September.
  62. Patton, Andrew J & Ramadorai, Tarun, 2010. "On the Dynamics of Hedge Fund Risk Exposures," CEPR Discussion Papers 7780, C.E.P.R. Discussion Papers.
  63. Perron, Pierre & Qu, Zhongjun, 2006. "Estimating restricted structural change models," Journal of Econometrics, Elsevier, vol. 134(2), pages 373-399, October.
  64. Yazgan, M. Ege & Özkan, Harun, 2015. "Detecting structural changes using wavelets," Finance Research Letters, Elsevier, vol. 12(C), pages 23-37.
  65. Pesaran, M.H. & Timmermann, A., 2003. "Small Sample Properties of Forecasts from Autoregressive Models under Structural Breaks," Cambridge Working Papers in Economics 0331, Faculty of Economics, University of Cambridge.
  66. Dominique Guegan & Philippe de Peretti, 2011. "Tests of Structural Changes in Conditional Distributions with Unknown Changepoints," Documents de travail du Centre d'Economie de la Sorbonne 11042, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  67. Juncal Cuñado & Javier Gómez Biscarri & Fernando Perez de Gracia, 2006. "Changes in the Dynamic Behavior of Emerging Market Volatility: Revisiting the Effects of Financial L," Faculty Working Papers 01/06, School of Economics and Business Administration, University of Navarra.
  68. Greene, Clinton A., 2002. "Was money demand in the USA unstable before 1982? An application of the sup-F stability test," Journal of Economics and Business, Elsevier, vol. 54(5), pages 465-481.
  69. Jin, Hyun Joung & Miljkovic, Dragan, 2005. "Analysis of Multiple Structural Breaks in Relative Farm Prices in the United States, 1913-2003," 2005 Annual meeting, July 24-27, Providence, RI 19118, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  70. Carter, Colin A. & Smith, Aaron D., 2004. "The Market Effect of a Food Scare: The Case of Genetically Modified StarLink Corn," Working Papers 11997, University of California, Davis, Department of Agricultural and Resource Economics.
  71. Fabio Busetti, 2012. "On detecting end-of-sample instabilities," Temi di discussione (Economic working papers) 881, Bank of Italy, Economic Research and International Relations Area.
  72. Robert F. Engle & Aaron D. Smith, 1999. "Stochastic Permanent Breaks," The Review of Economics and Statistics, MIT Press, vol. 81(4), pages 553-574, November.
  73. Bergeaud, A. & Cette, G. & Lecat, R., 2014. "Productivity trends from 1890 to 2012 in advanced countries," Working papers 475, Banque de France.
  74. Bai, Jushan, 1999. "Likelihood ratio tests for multiple structural changes," Journal of Econometrics, Elsevier, vol. 91(2), pages 299-323, August.
  75. Elliott, Graham & Muller, Ulrich K., 2007. "Confidence sets for the date of a single break in linear time series regressions," Journal of Econometrics, Elsevier, vol. 141(2), pages 1196-1218, December.
  76. Ryan R. Brady, 2006. "Structural Breaks and Consumer Credit: Is Consumption Smoothing Finally a Reality?," Departmental Working Papers 13, United States Naval Academy Department of Economics.
  77. Emanuela Ciapanna & Marco Taboga, 2011. "Bayesian analysis of coefficient instability in dynamic regressions," Temi di discussione (Economic working papers) 836, Bank of Italy, Economic Research and International Relations Area.
  78. Hervé Le Bihan, 2004. "Tests de ruptures : une application au PIB tendanciel français," Économie et Prévision, Programme National Persée, vol. 163(2), pages 133-154.
  79. Vasco J. Gabriel & Martin Sola & Zacharias Psaradakis, 2002. "Residual-based tests for cointegration and multiple regime shifts," NIPE Working Papers 7/2002, NIPE - Universidade do Minho.
  80. Flint Brayton & John M. Roberts & John C. Williams, 1999. "What's happened to the Phillips curve?," Finance and Economics Discussion Series 1999-49, Board of Governors of the Federal Reserve System (U.S.).
  81. KUROZUMI, Eiji & YAMAMOTO, Yohei, 2015. "Confidence Sets for the Break Date Based on Optimal Tests," Discussion Papers 2015-01, Graduate School of Economics, Hitotsubashi University.
  82. F. Pérez de Gracia & J. Cuñado; J. Gómez, 2004. "Financial Liberalization and Emerging Stock Market Volatility," Computing in Economics and Finance 2004 124, Society for Computational Economics.
  83. Burcu Kapar & William Pouliot, 2013. "Multiple Change-Point Detection in Linear Regression Models via U-Statistic Type Processes," Discussion Papers 13-13, Department of Economics, University of Birmingham.
  84. Elliott, Graham & Mueller, Ulrich K., 2004. "Optimally Testing General Breaking Processes in Linear Time Series Models," University of California at San Diego, Economics Working Paper Series qt58n33447, Department of Economics, UC San Diego.
  85. Marine Carrasco, 2004. "Chi-square Tests for Parameter Stability," RCER Working Papers 508, University of Rochester - Center for Economic Research (RCER).
  86. Ahn & Byung Chul, 1994. "Testing the null of stationarity in the presence of structural breaks for multiple time series," Econometrics 9411001, EconWPA, revised 08 Nov 1994.
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