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Confidence sets for the date of a single break in linear time series regressions · Study

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ArticleConfidence sets for the date of a single break in linear time series regressions

Graham Elliott2007

OA

Articlegreen2007

Confidence sets for the date of a single break in linear time series regressions

Graham Elliott · Ulrich K. Müller

88 citations·0/0 files stored·Journal of Econometrics

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Monetary Policy and Economic Impact Statistical Methods and Inference Advanced Statistical Methods and Models

Abstract

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Citations in this library

Stored only when both papers are in the corpus — 88 citations exist upstream.

References

2000Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory*1993Tests for Parameter Instability and Structural Change With Unknown Change Point 1991Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation 2000Sample Splitting and Threshold Estimation 2001Consumption, Aggregate Wealth, and Expected Stock Returns 1992An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator 1989Testing for the Constancy of Parameters Over Time 1970Inference About the Change-Point in a Sequence of Random Variables

Cited by

2019Structural Breaks in Time Series 2006Exchange-Rate Pass-Through to Import Prices in the Euro Area 2016Identification and estimation of a large factor model with structural instability 2005Exchange Rate Pass-Through to Import Prices in the Euro Area 2015Likelihood-ratio-based confidence sets for the timing of structural breaks 2005Establishing Credibility: Evolving Perceptions of the European Central Bank 2014Pre and post break parameter inference 2020Continuous record Laplace-based inference about the break date in structural change models

Details

Year2007

Typearticle

Published2007-03-27

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations88

Files0 public / 0

ShelfMonetary Policy and Economic Impact

Identifiers

doi10.1016/j.jeconom.2007.02.001

openalex_workW1973676482

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