Strong Rules for Detecting the Number of Breaks in a Time Series

By Filippo Altissimo, Valentina Corradi. 2003

120 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/984f47f161ead05ea9cec4d4f31991ed66bd0eb1

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Citations in the corpus

Dealing with Structural Breaks (2005, methodology): “Assumption on the regressors: Let w t = (x 0 t , z 0 t ) 0 , for i = 0, ..., m, (1/l i ) P T 0 i +[l i v] t=T 0 i +1 w t w 0 t → p Q i (v) a non-random positive definite matrix uniformly in v ∈ [0] [1].”
Selection of estimation window in the presence of breaks (2007, methodology): “For those approaches that pretest for a break, we shall assume that an estimate of the breakpoint, ^ T 1 , is available using methods such as those proposed by Bai and Perron (1998) or Altissimo and Corradi (2003).”
Testing for Change Points in Time Series (2010, methodology): “Nonmonotonic power is an undesirable feature of a test statistic, so methods have been proposed to overcome the problem; see Altissimo and Corradi (2003) and Juhl and Xiao (2009).”
Has Euro-Area Inflation Persistence Changed Over Time? (2005, background): “where β is a discount rate close to one.(1) Crucial differences emerge, however, once one turns to the empirical modelling of these expectations.”
Testing the structural stability of temporally dependent functional observations and application to climate projections (2011, methodology): “We then let D[0, 1] be the space of functions on [0, 1] which are right-continuous and have left limits, endowed with the Skorokhod topology (see Billingsley [5]).”
Structural breaks in time series (2013, background): “Remedies have been offered by Altissimo and Corradi (2003), Juhl and Xiao (2009), and Shao and Zhang (2010).”
The limit distribution of the estimates in cointegrated regression models with multiple structural changes (2008, background): “2 Examples of such conditions are discussed by Dehling and Philipp (1982), Altissimo and Corradi (2003) and Lavielle and Moulines (2000), among others.”