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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. Stephen M. Miller & Luis F. Martins & Rangan Gupta, 2014. "A Time-Varying Approach of the US Welfare Cost of Inflation," Working papers 2014-11, University of Connecticut, Department of Economics.
  2. 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.
  3. Arjen Siegmann & Denitsa Stefanova, 2011. "Market Liquidity and Exposure of Hedge Funds," Tinbergen Institute Discussion Papers 11-150/2/DSF27, Tinbergen Institute.
  4. El-Shagi, Makram & Giesen, Sebastian & Jung, Alexander, 2016. "Revisiting the relative forecast performances of Fed staff and private forecasters: A dynamic approach," International Journal of Forecasting, Elsevier, vol. 32(2), pages 313-323.
  5. 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.
  6. 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.
  7. 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.
  8. 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.
  9. 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.
  10. 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.
  11. Jacopo Cimadomo & Agnès Bénassy-Quéré, 2012. "Changing Patterns of Fiscal Policy Multipliers in Germany, the UK and the US," PSE - Labex "OSE-Ouvrir la Science Economique" hal-00966144, HAL.
  12. 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.
  13. repec:ipg:wpaper:2014-474 is not listed on IDEAS
  14. Makram El-Shagi & Sebastian Giesen, 2013. "Testing for Structural Breaks at Unknown Time: A Steeplechase," Computational Economics, Springer;Society for Computational Economics, vol. 41(1), pages 101-123, January.
  15. 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.
  16. Stock, James H & Watson, Mark W, 1996. "Evidence on Structural Instability in Macroeconomic Time Series Relations," Journal of Business & Economic Statistics, American Statistical Association, vol. 14(1), pages 11-30, January.
  17. Rochelle Edge & Thomas Laubach, 2004. "Learning and Shifts in Long-Run Growth," Computing in Economics and Finance 2004 123, Society for Computational Economics.
  18. 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.
  19. Pesaran, M. Hashem & Timmermann, Allan, 2004. "How costly is it to ignore breaks when forecasting the direction of a time series?," International Journal of Forecasting, Elsevier, vol. 20(3), pages 411-425.
  20. BAI, Jushan & PERRON, Pierre, 1998. "Computation and Analysis of Multiple Structural-Change Models," Cahiers de recherche 9807, Universite de Montreal, Departement de sciences economiques.
  21. Granger, Clive W. J. & Huangb, Bwo-Nung & Yang, Chin-Wei, 2000. "A bivariate causality between stock prices and exchange rates: evidence from recent Asianflu," The Quarterly Review of Economics and Finance, Elsevier, vol. 40(3), pages 337-354.
  22. John M. Maheu & Stephen Gordon, 2004. "Learning, Forecasting and Structural Breaks," Cahiers de recherche 0422, CIRPEE.
  23. Oscar Bajo-Rubio & Mª Carmen Díaz Roldán & Vicente Esteve, 2004. "Change of regime and Phillips curve stability:The case of Spain, 1964-2002," Economic Working Papers at Centro de Estudios Andaluces E2004/52, Centro de Estudios Andaluces.
  24. 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.
  25. Kholodilin Konstantin Arkadievich & Siliverstovs Boriss, 2006. "On the Forecasting Properties of the Alternative Leading Indicators for the German GDP: Recent Evidence," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 226(3), pages 234-259, June.
  26. Bergeaud, A. & Cette, G. & Lecat, R., 2015. "Productivity trends from 1890 to 2012 in advanced countries," Rue de la Banque, Banque de France, issue 07, June..
  27. Escribano, Álvaro & Arranz, Miguel A., 1998. "Detrending procedures and cointegration testing: ECM tests under structural breaks," DES - Working Papers. Statistics and Econometrics. WS 4551, Universidad Carlos III de Madrid. Departamento de Estadística.
  28. 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.
  29. Jari Hännikäinen, 2016. "Selection of an Estimation Window in the Presence of Data Revisions and Recent Structural Breaks," Working Papers 1692, University of Tampere, School of Management, Economics.
  30. Vicente Esteve, "undated". "PolÌtica fiscal y productividad del trabajo en la economÌa espanola: Un an·lisis de series temporales," Studies on the Spanish Economy 156, FEDEA.
  31. 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.
  32. Jerger, Jürgen & Röhe, Oke, 2009. "Testing for Parameter Stability in DSGE Models. The Cases of France, Germany and Spain," University of Regensburg Working Papers in Business, Economics and Management Information Systems 453, University of Regensburg, Department of Economics.
  33. 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.
  34. Marine Carrasco, 2004. "Chi-square Tests for Parameter Stability," RCER Working Papers 508, University of Rochester - Center for Economic Research (RCER).
  35. Jung, Alexander & El-Shagi, Makram & Giesen, Sebastian, 2013. "Does Central Bank Staff Beat Private Forecasters?," Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79925, Verein für Socialpolitik / German Economic Association.
  36. 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.
  37. El-Shagi, Makram & Giesen, Sebastian & Jung, Alexander, 2014. "Does the federal reserve staff still beat private forecasters?," Working Paper Series 1635, European Central Bank.
  38. 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.
  39. Pancrazi, Roberto, 2015. "The heterogeneous Great Moderation," European Economic Review, Elsevier, vol. 74(C), pages 207-228.
  40. 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.
  41. 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.
  42. Kim, Dukpa & Perron, Pierre, 2009. "Assessing the relative power of structural break tests using a framework based on the approximate Bahadur slope," Journal of Econometrics, Elsevier, vol. 149(1), pages 26-51, April.
  43. 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.
  44. 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.).
  45. Breitung, Jörg & Eickmeier, Sandra, 2009. "Testing for structural breaks in dynamic factor models," Discussion Paper Series 1: Economic Studies 2009,05, Deutsche Bundesbank, Research Centre.
  46. Perron, Pierre & Qu, Zhongjun, 2006. "Estimating restricted structural change models," Journal of Econometrics, Elsevier, vol. 134(2), pages 373-399, October.
  47. Zied Ftiti & Duc Khuong Nguyen & Khaled Guesmi & Frédéric Teulon, 2014. "Modelling Inflation Shifts and Persistence in Tunisia: Perspective from an Evolutionary spectral approach," Working Papers 2014-124, Department of Research, Ipag Business School.
  48. Hännikäinen, Jari, 2015. "Selection of an estimation window in the presence of data revisions and recent structural breaks," MPRA Paper 66759, University Library of Munich, Germany.
  49. Juncal Cunado & Javier Gómez Biscarri & Fernando Pérez de Gracia, 2003. "Structural Changes in Volatility and Stock Market Development: Evidence for Spain," Faculty Working Papers 06/03, School of Economics and Business Administration, University of Navarra.
  50. 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.
  51. 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.
  52. Eiji Kurozumi & Purevdorj Tuvaandorj, 2010. "Model Selection Criteria in Multivariate Models with Multiple Structural Changes," Global COE Hi-Stat Discussion Paper Series gd10-144, Institute of Economic Research, Hitotsubashi University.
  53. Pesaran, M. Hashem & Pick, Andreas & Pranovich, Mikhail, 2013. "Optimal forecasts in the presence of structural breaks," Journal of Econometrics, Elsevier, vol. 177(2), pages 134-152.
  54. 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.
  55. 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.
  56. Szabolcs Blazsek & Anna Downarowicz, 2013. "Forecasting hedge fund volatility: a Markov regime-switching approach," The European Journal of Finance, Taylor & Francis Journals, vol. 19(4), pages 243-275, April.
  57. 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.
  58. Yazgan, M. Ege & Özkan, Harun, 2015. "Detecting structural changes using wavelets," Finance Research Letters, Elsevier, vol. 12(C), pages 23-37.
  59. Rochelle M. Edge & Thomas Laubach & John C. Williams, 2004. "Learning and shifts in long-run productivity growth," Working Paper Series 2004-04, Federal Reserve Bank of San Francisco.
  60. 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.
  61. 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.
  62. 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.
  63. Carlson, John B. & Craig, Ben & Schwarz, Jeffrey C., 2000. "Structural uncertainty and breakpoint tests: an application to equilibrium velocity1," Journal of Economics and Business, Elsevier, vol. 52(1-2), pages 101-115.
  64. Allan Timmermann & M. Hashem Pesaran, 2003. "Small Sample Properties of Forecasts from Autoregressive Models under Structural Breaks," CESifo Working Paper Series 990, CESifo Group Munich.
  65. 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.
  66. Patton, Andrew J & Ramadorai, Tarun, 2010. "On the Dynamics of Hedge Fund Risk Exposures," CEPR Discussion Papers 7780, C.E.P.R. Discussion Papers.
  67. 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.
  68. Escribano, Álvaro & Arranz, Miguel A., 2000. "Outliers robust ECM cointegration test based on the trend components," DES - Working Papers. Statistics and Econometrics. WS 10142, Universidad Carlos III de Madrid. Departamento de Estadística.
  69. Qu, Zhongjun, 2008. "Testing for structural change in regression quantiles," Journal of Econometrics, Elsevier, vol. 146(1), pages 170-184, September.
  70. Bai, Jushan, 1999. "Likelihood ratio tests for multiple structural changes," Journal of Econometrics, Elsevier, vol. 91(2), pages 299-323, August.
  71. Bin Chen & Yongmiao Hong, 2013. "Detecting for Smooth Structural Changes in GARCH Models," WISE Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
  72. James H. Stock & Martin Feldstein, 1994. "Measuring Money Growth When Financial Markets Are Changing," NBER Working Papers 4888, National Bureau of Economic Research, Inc.
  73. 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.
  74. Carter, Colin A. & Smith, Aaron D., 2006. "Estimating the Market Effect of a Food Scare: The Case of Genetically Modified StarLink Corn," 2006 Annual Meeting, August 12-18, 2006, Queensland, Australia 25447, International Association of Agricultural Economists.
  75. 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.
  76. 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.
  77. 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).
  78. Marco Gallegati & Mauro Gallegati & James B. Ramsey & Willi Semmler, 2017. "Long waves in prices: new evidence from wavelet analysis," Cliometrica, Springer;Cliometric Society (Association Francaise de Cliométrie), vol. 11(1), pages 127-151, January.
  79. John M. Fry & Baoying Lai, 2011. "The interdependence of Coffee spot and futures markets," Working Papers 2011.1, International Network for Economic Research - INFER.
  80. Purba Roy Choudhury & Biswajit Chatterjee, 2017. "Growth in India’s Service Sector: Implications of Structural Breaks," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 15(1), pages 75-99, March.
  81. 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.
  82. 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.
  83. Isakov , Alexander, 2013. "Stress indicator construction for internal money market," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 30(2), pages 77-92.
  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. Martin Sommer, 2002. "Supply Shocks and the Persistence of Inflation," Economics Working Paper Archive 485, The Johns Hopkins University,Department of Economics.
  86. Aaron Smith, 2005. "Forecasting in the presence of level shifts," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 24(8), pages 557-574.
  87. 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.
  88. 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.
  89. 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.
  90. Dominique Guegan & Philippe De Peretti, 2012. "An Omnibus Test to Detect Time-Heterogeneity in Time Series," Working Papers halshs-00721327, HAL.
  91. Brady, Ryan R., 2008. "Structural breaks and consumer credit: Is consumption smoothing finally a reality?," Journal of Macroeconomics, Elsevier, vol. 30(3), pages 1246-1268, September.
  92. 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.
  93. 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.
  94. Giovanni Forchini, "undated". "The Geometry of Similar Tests for Structural Change," Discussion Papers 00/55, Department of Economics, University of York.
  95. Gabriela Ciuperca, 2011. "Estimating nonlinear regression with and without change-points by the LAD method," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 63(4), pages 717-743, August.
  96. 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.
  97. Zhu, Huiming & Guo, Yawei & You, Wanhai & Xu, Yaqin, 2016. "The heterogeneity dependence between crude oil price changes and industry stock market returns in China: Evidence from a quantile regression approach," Energy Economics, Elsevier, vol. 55(C), pages 30-41.
  98. 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.
  99. Zhu, Huiming & Huang, Hui & Peng, Cheng & Yang, Yan, 2016. "Extreme dependence between crude oil and stock markets in Asia-Pacific regions: Evidence from quantile regression," Economics Discussion Papers 2016-46, Kiel Institute for the World Economy (IfW).
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