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Least squares estimation of a shift in linear processes

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  1. Hillebrand, Eric & Schnabl, Gunther & Ulu, Yasemin, 2009. "Japanese foreign exchange intervention and the yen-to-dollar exchange rate: A simultaneous equations approach using realized volatility," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(3), pages 490-505, July.
  2. Boldea, Otilia & Hall, Alastair R., 2013. "Estimation and inference in unstable nonlinear least squares models," Journal of Econometrics, Elsevier, vol. 172(1), pages 158-167.
  3. Mohitosh Kejriwal, 2020. "A Robust Sequential Procedure for Estimating the Number of Structural Changes in Persistence," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 82(3), pages 669-685, June.
  4. Bill Russell & Dooruj Rambaccussing, 2016. "Breaks and the Statistical Process of Inflation: The Case of the ‘Modern’ Phillips Curve," Dundee Discussion Papers in Economics 294, Economic Studies, University of Dundee.
  5. Sean Jewell & Paul Fearnhead & Daniela Witten, 2022. "Testing for a change in mean after changepoint detection," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 84(4), pages 1082-1104, September.
  6. De Wachter, Stefan & Tzavalis, Elias, 2012. "Detection of structural breaks in linear dynamic panel data models," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3020-3034.
  7. Link, Albert N. & van Hasselt, Martijn, 2019. "On the transfer of technology from universities: The impact of the Bayh–Dole Act of 1980 on the institutionalization of university research," European Economic Review, Elsevier, vol. 119(C), pages 472-481.
  8. José Luis Fernández Serrano & Mª Dolores Robles Fernández, 2001. "Structural Breaks and interest rates forecast: a sequential approach," Documentos de Trabajo del ICAE 0110, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  9. Li, Zheng & Zeng, Jingjing & Hensher, David A., 2023. "An efficient approach to structural breaks and the case of automobile gasoline consumption in Australia," Transportation Research Part A: Policy and Practice, Elsevier, vol. 169(C).
  10. Toniolo, Gianni & Conte, Leandro & Vecchi, Giovanni, 2003. "Monetary Union, institutions and financial market integration: Italy, 1862-1905," Explorations in Economic History, Elsevier, vol. 40(4), pages 443-461, October.
  11. Uwe Hassler & Jan Scheithauer, 2011. "Detecting changes from short to long memory," Statistical Papers, Springer, vol. 52(4), pages 847-870, November.
  12. Leonardo Gambacorta & Adrian van Rixtel & Stefano Schiaffi, 2019. "Changing Business Models In International Bank Funding," Economic Inquiry, Western Economic Association International, vol. 57(2), pages 1038-1055, April.
  13. 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.
  14. Marie Hušková & Claudia Kirch, 2008. "Bootstrapping confidence intervals for the change‐point of time series," Journal of Time Series Analysis, Wiley Blackwell, vol. 29(6), pages 947-972, November.
  15. Casini, Alessandro & Perron, Pierre, 2022. "Generalized Laplace Inference In Multiple Change-Points Models," Econometric Theory, Cambridge University Press, vol. 38(1), pages 35-65, February.
  16. Josep Lluís Carrion‐i‐Silvestre & Andreu Sansó, 2006. "Testing the Null of Cointegration with Structural Breaks," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 68(5), pages 623-646, October.
  17. Wilton Bernardino & João B. Amaral & Nelson L. Paes & Raydonal Ospina & José L. Távora, 2022. "A statistical investigation of a stock valuation model," SN Business & Economics, Springer, vol. 2(8), pages 1-25, August.
  18. Seong Yeon Chang & Pierre Perron, 2018. "A comparison of alternative methods to construct confidence intervals for the estimate of a break date in linear regression models," Econometric Reviews, Taylor & Francis Journals, vol. 37(6), pages 577-601, July.
  19. Casini, Alessandro & Perron, Pierre, 2024. "Change-point analysis of time series with evolutionary spectra," Journal of Econometrics, Elsevier, vol. 242(2).
  20. Kejriwal, Mohitosh, 2009. "Tests for a mean shift with good size and monotonic power," Economics Letters, Elsevier, vol. 102(2), pages 78-82, February.
  21. Cheong, Siew Ann & Fornia, Robert Paulo & Lee, Gladys Hui Ting & Kok, Jun Liang & Yim, Woei Shyr & Xu, Danny Yuan & Zhang, Yiting, 2011. "The Japanese economy in crises: A time series segmentation study," Economics Discussion Papers 2011-24, Kiel Institute for the World Economy (IfW Kiel).
  22. Fabio Busetti & Andrew Harvey, 2003. "Further Comments On Stationarity Tests In Series With Structural Breaks At Unknown Points," Journal of Time Series Analysis, Wiley Blackwell, vol. 24(2), pages 137-140, March.
  23. Baltagi, Badi H. & Kao, Chihwa & Wang, Fa, 2017. "Identification and estimation of a large factor model with structural instability," Journal of Econometrics, Elsevier, vol. 197(1), pages 87-100.
  24. Rafael Di Tella & Ernesto Schargrodsky, 2004. "Do Police Reduce Crime? Estimates Using the Allocation of Police Forces After a Terrorist Attack," American Economic Review, American Economic Association, vol. 94(1), pages 115-133, March.
  25. Carnero, María Ángeles, 2003. "Detecting level shifts in the presence of conditional heteroscedasticity," DES - Working Papers. Statistics and Econometrics. WS ws036313, Universidad Carlos III de Madrid. Departamento de Estadística.
  26. Bill Russell & Dooruj Rambaccussing, 2019. "Breaks and the statistical process of inflation: the case of estimating the ‘modern’ long-run Phillips curve," Empirical Economics, Springer, vol. 56(5), pages 1455-1475, May.
  27. Eiji Kurozumi & Yohei Yamamoto, 2015. "Confidence sets for the break date based on optimal tests," Econometrics Journal, Royal Economic Society, vol. 18(3), pages 412-435, October.
  28. Liang Jiang & Xiaohu Wang & Jun Yu, 2014. "On Bias in the Estimation of Structural Break Points," Working Papers 22-2014, Singapore Management University, School of Economics.
  29. Christis Katsouris, 2023. "Break-Point Date Estimation for Nonstationary Autoregressive and Predictive Regression Models," Papers 2308.13915, arXiv.org.
  30. Nascimento, Diego C. & Pimentel, Bruno A. & Souza, Renata M.C.R. & Costa, Lilia & Gonçalves, Sandro & Louzada, Francisco, 2021. "Dynamic graph in a symbolic data framework: An account of the causal relation using COVID-19 reports and some reflections on the financial world," Chaos, Solitons & Fractals, Elsevier, vol. 153(P2).
  31. Elliott, Graham & Müller, Ulrich K., 2014. "Pre and post break parameter inference," Journal of Econometrics, Elsevier, vol. 180(2), pages 141-157.
  32. Giorgio Canarella & Stephen M Miller, 2017. "Inflation Persistence Before and After Inflation Targeting: A Fractional Integration Approach," Eastern Economic Journal, Palgrave Macmillan;Eastern Economic Association, vol. 43(1), pages 78-103, January.
  33. Rituparna Kar & Nityananda Sarkar, 2006. "Mean and volatility dynamics of Indian rupee/US dollar exchange rate series: an empirical investigation," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 13(1), pages 41-69, March.
  34. Ulrich K. Müller & Mark W. Watson, 2020. "Low-Frequency Analysis of Economic Time Series," Working Papers 2020-13, Princeton University. Economics Department..
  35. Korbinian von Blanckenburg, Gerrit Reher, "undated". "Testverfahren zur Beurteilung der Funktionsfähigkeit von Marktprozessen," Working Papers 201154, Institute of Spatial and Housing Economics, Munster Universitary.
  36. Reinhard Ellwanger & Hinnerk Gnutzmann & Piotr Śpiewanowski, 2023. "Cost Pass-Through with Capacity Constraints and International Linkages," Staff Working Papers 23-16, Bank of Canada.
  37. Jiang, Liang & Wang, Xiaohu & Yu, Jun, 2018. "New distribution theory for the estimation of structural break point in mean," Journal of Econometrics, Elsevier, vol. 205(1), pages 156-176.
  38. Alessandro Casini & Pierre Perron, 2015. "Continuous Record Asymptotics for Structural Change Models," Boston University - Department of Economics - Working Papers Series WP2018-010, Boston University - Department of Economics, revised Nov 2017.
  39. Martínez, José Manuel, 1997. "Caracterización de la tendencia y componente cíclico del PIB español a través de modelos no lineales," DES - Documentos de Trabajo. Estadística y Econometría. DS 3646, Universidad Carlos III de Madrid. Departamento de Estadística.
  40. Perron, Pierre & Zhu, Xiaokang, 2005. "Structural breaks with deterministic and stochastic trends," Journal of Econometrics, Elsevier, vol. 129(1-2), pages 65-119.
  41. Jörg Breitung & Robinson Kruse, 2013. "When bubbles burst: econometric tests based on structural breaks," Statistical Papers, Springer, vol. 54(4), pages 911-930, November.
  42. Kirch Claudia, 2007. "Resampling in the frequency domain of time series to determine critical values for change-point tests," Statistics & Risk Modeling, De Gruyter, vol. 25(3), pages 237-261, July.
  43. Daiqing Xi & Tianxiao Pang, 2021. "Estimating multiple breaks in mean sequentially with fractionally integrated errors," Statistical Papers, Springer, vol. 62(1), pages 451-494, February.
  44. Hall, Alastair R. & Han, Sanggohn & Boldea, Otilia, 2012. "Inference regarding multiple structural changes in linear models with endogenous regressors," Journal of Econometrics, Elsevier, vol. 170(2), pages 281-302.
  45. Francis Declerck & Jean-Pierre Indjehagopian & Flavien Bellocq, 2015. "Relationship Between Oil Prices and Stock Prices of Major Oil Companies [Relation entre le prix du pétrole et les cours boursiers des grandes compagnies pétrolières mondiales]," Working Papers hal-01119857, HAL.
  46. Lajos Horváth, 1997. "Detection of Changes in Linear Sequences," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 49(2), pages 271-283, June.
  47. Zifeng Zhao & Feiyu Jiang & Xiaofeng Shao, 2022. "Segmenting time series via self‐normalisation," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 84(5), pages 1699-1725, November.
  48. Mahua Barari & Nityananda Sarkar & Srikanta Kundu & Kushal Banik Chowdhury, 2014. "Forecasting House Prices in the United States with Multiple Structural Breaks," International Econometric Review (IER), Econometric Research Association, vol. 6(1), pages 1-23, April.
  49. Avdjiev, Stefan & Gambacorta, Leonardo & Goldberg, Linda S. & Schiaffi, Stefano, 2020. "The shifting drivers of global liquidity," Journal of International Economics, Elsevier, vol. 125(C).
  50. Jushan, Bai, 1995. "Estimation of multiple-regime regressions with least absolutes deviation," MPRA Paper 32916, University Library of Munich, Germany, revised Feb 1998.
  51. Haoran Lu & Dianpeng Wang, 2024. "Grouped Change-Points Detection and Estimation in Panel Data," Mathematics, MDPI, vol. 12(5), pages 1-20, March.
  52. Anne Halvorsen & Haris N. Koutsopoulos & Zhenliang Ma & Jinhua Zhao, 2020. "Demand management of congested public transport systems: a conceptual framework and application using smart card data," Transportation, Springer, vol. 47(5), pages 2337-2365, October.
  53. Josephine Njeri Ngure & Anthony Gichuhi Waititu, 2021. "Consistency of an Estimator for Change Point in Volatility of Financial Returns," Journal of Mathematics Research, Canadian Center of Science and Education, vol. 13(1), pages 1-56, February.
  54. Giorgio Canarella & Stephen M. Miller, 2016. "Inflation Persistence and Structural Breaks: The Experience of Inflation Targeting Countries and the US," Working papers 2016-21, University of Connecticut, Department of Economics.
  55. Stefano Maria IACUS & Nakahiro YOSHIDA, 2009. "Estimation for the change point of the volatility in a stochastic differential equation," Departmental Working Papers 2009-49, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano.
  56. Yaein Baek, 2018. "Estimation of a Structural Break Point in Linear Regression Models," Papers 1811.03720, arXiv.org, revised Jun 2020.
  57. Bruce E. Hansen, 2001. "The New Econometrics of Structural Change: Dating Breaks in U.S. Labour Productivity," Journal of Economic Perspectives, American Economic Association, vol. 15(4), pages 117-128, Fall.
  58. Fiteni, Inmaculada, 2004. "[tau]-estimators of regression models with structural change of unknown location," Journal of Econometrics, Elsevier, vol. 119(1), pages 19-44, March.
  59. Kim, Tae-Hwan & Leybourne, Stephen & Newbold, Paul, 2002. "Unit root tests with a break in innovation variance," Journal of Econometrics, Elsevier, vol. 109(2), pages 365-387, August.
  60. 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.
  61. Xu, Ke-Li & Phillips, Peter C.B., 2008. "Adaptive estimation of autoregressive models with time-varying variances," Journal of Econometrics, Elsevier, vol. 142(1), pages 265-280, January.
  62. Josep Carrion-i-Silvestre & Andreu Sansó, 2007. "The KPSS test with two structural breaks," Spanish Economic Review, Springer;Spanish Economic Association, vol. 9(2), pages 105-127, June.
  63. Chan, Kam C. & Chan, Leo H. & Nguyen, Chi M., 2020. "Forecasting oil futures market volatility in a financialized world: Why speculative activities matter," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
  64. El-Shazly, Alaa, 2016. "Structural breaks and monetary dynamics: A time series analysis," Economic Modelling, Elsevier, vol. 53(C), pages 133-143.
  65. Paolo Agnolucci & Vincenzo De Lipsis, 2020. "Long-run trend in agricultural yield and climatic factors in Europe," Climatic Change, Springer, vol. 159(3), pages 385-405, April.
  66. Zhou, Jie & Liu, San Y., 2009. "Inference for mean change-point in infinite variance AR(p) process," Statistics & Probability Letters, Elsevier, vol. 79(1), pages 6-15, January.
  67. Oka, Tatsushi & Perron, Pierre, 2018. "Testing for common breaks in a multiple equations system," Journal of Econometrics, Elsevier, vol. 204(1), pages 66-85.
  68. Andrew T. Levin & Jeremy M. Piger, 2003. "Is inflation persistence intrinsic in industrial economies?," Working Papers 2002-023, Federal Reserve Bank of St. Louis.
  69. Li Zhaoyuan & Tian Maozai, 2017. "Detecting Change-Point via Saddlepoint Approximations," Journal of Systems Science and Information, De Gruyter, vol. 5(1), pages 48-73, February.
  70. Alessandro Casini & Pierre Perron, 2018. "Continuous Record Asymptotics for Change-Points Models," Papers 1803.10881, arXiv.org, revised Nov 2021.
  71. Nidhi Aggarwal & Sanchit Arora & Rajeswari Sengupta, 2021. "Capital account liberalisation in a large emerging economy: An Analysis of onshore-offshore arbitrage," Indira Gandhi Institute of Development Research, Mumbai Working Papers 2021-013, Indira Gandhi Institute of Development Research, Mumbai, India.
  72. Alessandro De Gregorio & Stefano Iacus, 2007. "Change point estimation for the telegraph process observed at discrete times," UNIMI - Research Papers in Economics, Business, and Statistics unimi-1053, Universitá degli Studi di Milano.
  73. Günster, N.K. & Kole, H.J.W.G. & Jacobsen, B., 2009. "Riding Bubbles," ERIM Report Series Research in Management ERS-2009-058-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
  74. Cheong, Siew Ann & Fornia, Robert Paulo & Lee, Gladys Hui Ting & Kok, Jun Liang & Yim, Woei Shyr & Xu, Danny Yuan & Zhang, Yiting, 2012. "The Japanese economy in crises: A time series segmentation study," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 6, pages 1-81.
  75. Abhijit Sharma & Kelvin G Balcombe & Iain M Fraser, 2009. "Non-renewable resource prices: Structural breaks and long term trends," Economics Bulletin, AccessEcon, vol. 29(2), pages 805-819.
  76. Josep Lluís Carrion-i-Silvestre & Tomás del Barrio-Castro & Enrique López-Bazo, 2005. "Breaking the panels: An application to the GDP per capita," Econometrics Journal, Royal Economic Society, vol. 8(2), pages 159-175, July.
  77. Yunwei Cui & Rongning Wu & Qi Zheng, 2021. "Estimation of change‐point for a class of count time series models," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 48(4), pages 1277-1313, December.
  78. Kaddour Hadri & Rolf Larsson & Yao Rao, 2012. "Testing For Stationarity With A Break In Panels Where The Time Dimension Is Finite," Bulletin of Economic Research, Wiley Blackwell, vol. 64(Supplemen), pages 123-148, December.
  79. Ozgen Sayginsoy & Tim Vogelsang, 2004. "Powerful Tests of Structural Change That are Robust to Strong Serial Correlation," Discussion Papers 04-08, University at Albany, SUNY, Department of Economics.
  80. Patrik Nosil & Zachariah Gompert & Daniel J. Funk, 2024. "Divergent dynamics of sexual and habitat isolation at the transition between stick insect populations and species," Nature Communications, Nature, vol. 15(1), pages 1-15, December.
  81. Vogelsang, Timothy J., 1998. "Sources of nonmonotonic power when testing for a shift in mean of a dynamic time series," Journal of Econometrics, Elsevier, vol. 88(2), pages 283-299, November.
  82. Dias, Daniel A. & Marques, Carlos Robalo, 2010. "Using mean reversion as a measure of persistence," Economic Modelling, Elsevier, vol. 27(1), pages 262-273, January.
  83. Koch, Cathérine Tahmee, 2014. "Risky adjustments or adjustments to risks: Decomposing bank leverage," Journal of Banking & Finance, Elsevier, vol. 45(C), pages 242-254.
  84. Luis C. Nunes & Paulo M. M. Rodrigues, 2011. "On LM‐type tests for seasonal unit roots in the presence of a break in trend," Journal of Time Series Analysis, Wiley Blackwell, vol. 32(2), pages 108-134, March.
  85. Cremaschini, Alessandro & Maruotti, Antonello, 2023. "A finite mixture analysis of structural breaks in the G-7 gross domestic product series," Research in Economics, Elsevier, vol. 77(1), pages 76-90.
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  87. Bai, Jushan, 2010. "Common breaks in means and variances for panel data," Journal of Econometrics, Elsevier, vol. 157(1), pages 78-92, July.
  88. Galeano, Pedro, 2007. "The use of cumulative sums for detection of changepoints in the rate parameter of a Poisson Process," Computational Statistics & Data Analysis, Elsevier, vol. 51(12), pages 6151-6165, August.
  89. Gallegati, Marco & Ramsey, James B., 2013. "Structural change and phase variation: A re-examination of the q-model using wavelet exploratory analysis," Structural Change and Economic Dynamics, Elsevier, vol. 25(C), pages 60-73.
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  93. Mohitosh Kejriwal & Claude Lopez, 2013. "Unit Roots, Level Shifts, and Trend Breaks in Per Capita Output: A Robust Evaluation," Econometric Reviews, Taylor & Francis Journals, vol. 32(8), pages 892-927, November.
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  122. De Wachter, Stefan & Tzavalis, Elias, 2012. "Detection of structural breaks in linear dynamic panel data models," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3020-3034.
  123. Shi, Xiaoping & Wu, Yuehua & Miao, Baiqi, 2009. "Strong convergence rate of estimators of change point and its application," Computational Statistics & Data Analysis, Elsevier, vol. 53(4), pages 990-998, February.
  124. Declerck , Francis & Indjehagopian , Jean-Pierre & Bellocq , Flavien, 2015. "Relation entre le prix du pétrole et les cours boursiers des grandes compagnies pétrolières mondiales," ESSEC Working Papers WP1504, ESSEC Research Center, ESSEC Business School.
  125. 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.
  126. Stefano M. Iacus & Nakahiro Yoshida, 2010. "Numerical Analysis of Volatility Change Point Estimators for Discretely Sampled Stochastic Differential Equations," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 39(1‐2), pages 107-127, February.
  127. Ching-Kang Ing & Ching-Zong Wei, 2005. "A maximal moment inequality for long range dependent time series with applications to estimation and model selection," Econometrics 0508009, University Library of Munich, Germany.
  128. Ernesto Azzurro & Paula Moschella & Francesc Maynou, 2011. "Tracking Signals of Change in Mediterranean Fish Diversity Based on Local Ecological Knowledge," PLOS ONE, Public Library of Science, vol. 6(9), pages 1-8, September.
  129. Ashok Chanabasangouda Patil & Shailesh Rastogi, 2020. "Multifractal Analysis of Market Efficiency across Structural Breaks: Implications for the Adaptive Market Hypothesis," JRFM, MDPI, vol. 13(10), pages 1-18, October.
  130. Mutafoglu, Takvor H. & Tokat, Ekin & Tokat, Hakki A., 2012. "Forecasting precious metal price movements using trader positions," Resources Policy, Elsevier, vol. 37(3), pages 273-280.
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