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A class of Stein-rules in multivariate regression model with structural changes

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  • Fuqi Chen
  • Sévérien Nkurunziza

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  • Fuqi Chen & Sévérien Nkurunziza, 2016. "A class of Stein-rules in multivariate regression model with structural changes," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 43(1), pages 83-102, March.
    • Handle: RePEc:bla:scjsta:v:43:y:2016:i:1:p:83-102
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    File URL: http://hdl.handle.net/10.1111/sjos.12166
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    References listed on IDEAS

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    1. Jushan Bai & Pierre Perron, 1998. "Estimating and Testing Linear Models with Multiple Structural Changes," Econometrica, Econometric Society, vol. 66(1), pages 47-78, January.
    2. Perron, Pierre & Qu, Zhongjun, 2006. "Estimating restricted structural change models," Journal of Econometrics, Elsevier, vol. 134(2), pages 373-399, October.
    3. Nkurunziza, Sévérien, 2011. "Shrinkage strategy in stratified random sample subject to measurement error," Statistics & Probability Letters, Elsevier, vol. 81(2), pages 317-325, February.
    4. Harchaoui, Z. & Lévy-Leduc, C., 2010. "Multiple Change-Point Estimation With a Total Variation Penalty," Journal of the American Statistical Association, American Statistical Association, vol. 105(492), pages 1480-1493.
    5. Jushan Bai & Pierre Perron, 2003. "Computation and analysis of multiple structural change models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(1), pages 1-22.
    6. de Jong, Robert M., 1997. "Central Limit Theorems for Dependent Heterogeneous Random Variables," Econometric Theory, Cambridge University Press, vol. 13(3), pages 353-367, June.
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    Cited by:

    1. Christis Katsouris, 2023. "Quantile Time Series Regression Models Revisited," Papers 2308.06617, arXiv.org, revised Aug 2023.
    2. Sévérien Nkurunziza, 2023. "Estimation and Testing in Multivariate Generalized Ornstein-Uhlenbeck Processes with Change-Points," Sankhya A: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 85(1), pages 351-400, February.
    3. Sévérien Nkurunziza, 2023. "On efficiency of some restricted estimators in a multivariate regression model," Statistical Papers, Springer, vol. 64(2), pages 617-642, April.

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