Estimating and Testing Structural Changes in Multivariate Regressions

By Zhongjun Qu, Pierre Perron. 2007

502 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/07ff484cb33bb7f2e3ec5a2a95db5031cb17fd96

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Citations in the corpus

The limit distribution of the estimates in cointegrated regression models with multiple structural changes (2008, background): “The following Lemma is a direct consequence of Lemma A.1(b) applied to ξ t .”
Functional-coefficient cointegration models (2009, background): “Related to this paper there is a large literature on cointegration models with structural instabilities (e.g. Hansen (1992), Quintos and Phillips (1993), and Qu (2005)), stochastic cointegration (e.g. Harris, McCabe and Leybourne (2002)).”
OIL PRICE SHOCKS AND INDUSTRIAL PRODUCTION: IS THE RELATIONSHIP LINEAR? (2011, background): “[40] Qu, Zhongjun and Pierre Perron (2007), “Estimating and Testing Structural Changes in Multivariate Regressions,” Econometrica, 75 (2), 459-502.”
Measuring Bilateral Spillover and Testing Contagion on Sovereign Bond Markets in Europe (2014, methodology): “We then provide a novel test for contagion by applying the multivariate structural break test of Qu and Perron (2007) on this FAVAR.”
Testing for Change Points in Time Series (2010, methodology): “From a methodological standpoint, the test statistics developed for change point detection in the iid context may not work in the time series setup and suitable modification is needed to account for the temporal dependence in the data; see, for example, Tang and MacNeill (1993), Antoch, Hušková, and”
Detecting changes in the mean of functional observations (2009, background): “Different multivariate settings with further references are discussed in Lavielle and Teyssiére (2006), Zamba and Hawkins (2006) and Qu and Perron (2007), among others.”
ESTIMATION AND INFERENCE WITH WEAK, SEMI-STRONG, AND STRONG IDENTIFICATION (2010, unknown): “…abrupt transition threshold autoregressive models are not covered by the results of the present paper; for example, see Picard (1985), Chan (1993), Bai (1997), Hansen (2000), Liu and Shao (2003), Elliott and Müller (2007, 2008), Qu and Perron (2007), and Drton (2009) for analyses of these models.”
THE LIMIT DISTRIBUTION OF THE CUSUM OF SQUARES TEST UNDER GENERAL MIXING CONDITIONS (2008, background): “–~iv! are proved in Qu and Perron, 2007, and the proof of part ~i! is presented in the Appendix!+ LEMMA 1+ (i) Under A1 and A2, sup1 n T T 102 7 t 1 n xt ut7 Op~1!”
Shrinkage estimation of common breaks in panel data models via adaptive group fused Lasso (2016, unknown): “…see, e.g., Bai (1997a, 1997b), Bai and Perron (1998), Qu and Perron (2007), Su and White (2010), Kurozumi 1Bai (1997a), Bai et al. (1998) and Qu and Perron (2007) extend the estimation of single-time series models to multipleones with simultaneous structural breaks where the number of…”
A review of change point detection methods (2018, methodology): “The general linear model [111, 115] is given by: where the v ∈ R q and u k ∈ R p are unknown regression parameters and ε t is noise.”
Do Inflation Expectations Propagate the Inflationary Impact of Real Oil Price Shocks?: Evidence from the Michigan Survey (2015, unknown): “I use the Qu and Perron (2007) procedure to test for structural breaks in multivariate models.”
SHRINKAGE ESTIMATION OF REGRESSION MODELS WITH MULTIPLE STRUCTURAL CHANGES (2015, methodology): “Bai et al. (1998) consider a sup Wald test for a single change in a multivariate system, Qu and Perron (2007) extend the analysis to the context of multiple structural changes in multivariate regressions, and Kurozumi and Arai (2006) study inferential problems for multivariate time series with…”