An analysis of the indicator saturation estimator as a robust regression

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Model selection when there are multiple breaks (2012, methodology): “The theory generalizes to more, and unequal, splits, as well as dynamic models, see Johansen and Nielsen (2009).”
An Automatic Test of Super Exogeneity (2010, background): “Importantly, Johansen and Nielsen (2008) both generalize the analysis todynamic models (possibly with unit roots) and establish that for smallα (e.g.,α ≤ 0.01), the inefficiency of conducting impulse saturation is very small despite testingT indicators: intuitively, retained impulses correspond…”
Detecting Location Shifts during Model Selection by Step-Indicator Saturation (2015, methodology): “Johansen and Nielsen [4] establish that using small nominal significance levels α (e.”
Asymptotic Theory of Outlier Detection Algorithms for Linear Time Series Regression Models (2016, methodology): “Expansions of the product moments (20) can be found in Johansen and Nielsen (2015a) and form the basis for the results reviewed in Sections 6, 7.”