Continuous Record Laplace-based Inference about the Break Date in Structural Change Models
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- Casini, Alessandro & Perron, Pierre, 2021. "Continuous record Laplace-based inference about the break date in structural change models," Journal of Econometrics, Elsevier, vol. 224(1), pages 3-21.
- Alessandro Casini & Pierre Perron, 2018. "Continuous Record Laplace-based Inference about the Break Date in Structural Change Models," Papers 1804.00232, arXiv.org, revised May 2020.
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Cited by:
- Casini, Alessandro & Perron, Pierre, 2021.
"Continuous record Laplace-based inference about the break date in structural change models,"
Journal of Econometrics, Elsevier, vol. 224(1), pages 3-21.
- Alessandro Casini & Pierre Perron, 2018. "Continuous Record Laplace-based Inference about the Break Date in Structural Change Models," Papers 1804.00232, arXiv.org, revised May 2020.
- Alessandro Casini & Pierre Perron, 2020. "Continuous Record Laplace-based Inference about the Break Date in Structural Change Models," Boston University - Department of Economics - Working Papers Series WP2020-014, Boston University - Department of Economics.
- TAYANAGI, Toshikazu & 田柳, 俊和 & KUROZUMI, Eiji & 黒住, 英司, 2023. "Change-point estimators with the weighted objective function when estimating breaks one at a time," Discussion Papers 2023-04, Graduate School of Economics, Hitotsubashi University.
- Casini, Alessandro, 2023. "Theory of evolutionary spectra for heteroskedasticity and autocorrelation robust inference in possibly misspecified and nonstationary models," Journal of Econometrics, Elsevier, vol. 235(2), pages 372-392.
- Shimizu, Kenichi, 2023.
"Asymptotic properties of Bayesian inference in linear regression with a structural break,"
Journal of Econometrics, Elsevier, vol. 235(1), pages 202-219.
- Kenichi Shimizu, 2022. "Asymptotic properties of Bayesian inference in linear regression with a structural break," Working Papers 2022_05, Business School - Economics, University of Glasgow.
- Kenichi Shimizu, 2022. "Asymptotic properties of Bayesian inference in linear regression with a structural break," Papers 2201.07319, arXiv.org.
- Alessandro Casini & Pierre Perron, 2018.
"Structural Breaks in Time Series,"
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- Alessandro Casini & Pierre Perron, 2018. "Structural Breaks in Time Series," Boston University - Department of Economics - Working Papers Series WP2019-02, Boston University - Department of Economics.
- Casini, Alessandro & Perron, Pierre, 2024.
"Prewhitened long-run variance estimation robust to nonstationarity,"
Journal of Econometrics, Elsevier, vol. 242(1).
- Alessandro Casini & Pierre Perron, 2021. "Prewhitened Long-Run Variance Estimation Robust to Nonstationarity," Papers 2103.02235, arXiv.org, revised Aug 2024.
- Tayanagi, Toshikazu & 田柳, 俊和 & Kurozumi, Eiji & 黒住, 英司, 2022. "In-fill asymptotic distribution of the change point estimator when estimating breaks one at a time," Discussion Papers 2022-03, Graduate School of Economics, Hitotsubashi University.
- Alessandro Casini & Pierre Perron, 2018.
"Continuous Record Asymptotics for Change-Points Models,"
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1803.10881, arXiv.org, revised Nov 2021.
- Alessandro Casini & Pierre Perron, 2020. "Continuous Record Asymptotics for Change-Point Models," Boston University - Department of Economics - Working Papers Series WP2020-013, Boston University - Department of Economics.
- Federico Belotti & Alessandro Casini & Leopoldo Catania & Stefano Grassi & Pierre Perron, 2023.
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Econometric Reviews, Taylor & Francis Journals, vol. 42(3), pages 281-306, February.
- Federico Belotti & Alessandro Casini & Leopoldo Catania & Stefano Grassi & Pierre Perron, 2021. "Simultaneous Bandwidths Determination for DK-HAC Estimators and Long-Run Variance Estimation in Nonparametric Settings," Papers 2103.00060, arXiv.org.
- Yaein Baek, 2018. "Estimation of a Structural Break Point in Linear Regression Models," Papers 1811.03720, arXiv.org, revised Jun 2020.
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More about this item
Keywords
Asymptotic distribution; bias; break date; change-point; Generalized Laplace; infill asymptotics; semimartingale;All these keywords.
JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ORE-2020-06-22 (Operations Research)
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