Confidence Sets for the Date of a Single Break in Linear Time Series Regressions

By Graham Elliott, Ulrich K. Müller. 2004

106 citations recorded by the source corpus.

Subfields: Applied Mathematics, Economics and Econometrics, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/a37ede4acfdd213fd485aac1ce540e4794f380a7

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Applied Mathematics

1. Pierre Perron
2. Mark W. Watson
3. Ulrich K. Müller
4. Graham Elliott
5. Zhongjun Qu

In Economics and Econometrics

1. Pierre Perron
2. Ulrich K. Müller
3. Zhongjun Qu
4. Graham Elliott
5. Mark W. Watson
6. Tatsushi Oka
7. Barbara Rossi
8. Serena Ng

In Statistics and Probability

1. Ulrich K. Müller
2. Pierre Perron
3. Mark W. Watson
4. Tatsushi Oka
5. Graham Elliott
6. Zhongjun Qu
7. Giuseppe Cavaliere
8. Barbara Rossi

Citations in the corpus

• NEARLY OPTIMAL TESTS WHEN A NUISANCE PARAMETER IS PRESENT UNDER THE NULL HYPOTHESIS (2015, methodology): “We compare our near-optimal test to the invariant tests developed in Elliott and Müller (2007), and fi nd that the invariance restriction is costly in terms of power.”
• Identification and estimation of a large factor model with structural instability (2017, unknown): “Define ak = T − k0 T − k [vec(Σ2)− vec(Σ1)], bk = k0 − k T − k [vec(Σ1)− vec(Σ2)], (20)”
• 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.”
• Estimating Structural Changes in Regression Quantiles (2011, background): “It should be noted that a few studies have addressed this under-coverage issue in other contexts and alternative inferential frameworks have been proposed, see Bai (1995) and Elliott and Müller (2007, 2010).”
• Efficient Tests for General Persistent Time Variation in Regression Coefficients (2006, background): “While for non-local alternatives, that is, for breaks that are large asymptotically, methods have been developed to discern the number and location of breaks (Bai and Perron, 1998), distinguishing local breaking processes is more difficult (see Elliott and Müller, 2004).”
• Advances in Forecasting Under Instability (2012, unknown): “As shown by Elliott and Muller (2007), paradoxically, even in a simple model with a single, one-time break, it is more di¢ cult to determine the exact break date than it is to determine whether there was a break or not in the data.”
• Dealing with Structural Breaks (2005, methodology): “The method of Elliott and Müller (2004), based on inverting a test, works better in that case.”