A linear regression model with persistent level shifts: An alternative to infill asymptotics
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DOI: 10.1016/j.spl.2014.08.018
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- Jushan, Bai, 1995. "Estimation of multiple-regime regressions with least absolutes deviation," MPRA Paper 32916, University Library of Munich, Germany, revised Feb 1998.
- Alexander Aue & Lajos Horváth, 2013. "Structural breaks in time series," Journal of Time Series Analysis, Wiley Blackwell, vol. 34(1), pages 1-16, January.
- 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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- Woody, Jonathan, 2015. "Time series regression with persistent level shifts," Statistics & Probability Letters, Elsevier, vol. 102(C), pages 22-29.
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Keywords
Asymptotic normality; Breakpoints; Changepoints; Infill asymptotics; Linear model;All these keywords.
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