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On Testing Changes in Autoregressive Parameters of a VAR Model
9 references·0 citing·39 second hop
On Testing Changes in Autoregressive Parameters of a VAR Model (2013)On Testing Changes in Autoregressive Para…Analysis of Financial Time Series (2010)Analysis of Financial Time Se…On the detection of changes in autoregressive time series I. Asymptotics (2006)On the detection of changes i…ANALYSIS OF VECTOR AUTOREGRESSIONS IN THE PRESENCE OF SHIFTS IN MEAN (2002)ANALYSIS OF VECTOR AUTOREGRES…Change-Point Estimation in ARCH Models (2000)Change-Point Estimation in AR…Testing For and Dating Common Breaks in Multivariate Time Series (1998)Testing For and Dating Common…Testing for a Change in the Parameter Values and Order of an Autoregressive Model (1995)Testing for a Change in the P…The Maximum Likelihood Method for Testing Changes in the Parameters of Normal Observations (1993)The Maximum Likelihood Method…Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)Tests for Parameter Instabili…Tests for a Change-Point (1987)Tests for a Change-PointThe Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)Inference in Linear Time Series Models with some Unit Roots (1990)The Uneven Legal Push for Europe (2009)Studying on the monetary transmission mechanism in China in the presence of structural changes (2011)Movements in international bond markets: The role of oil prices (2020)CONTINUOUS INSPECTION SCHEMES (1954)A Test for a Change in a Parameter Occurring at an Unknown Point (1955)On Tests for Detecting Change in Mean (1975)Optimal Detection of Changepoints With a Linear Computational Cost (2012)Structural breaks in time series (2012)changepoint : An R Package for Changepoint Analysis (2014)Detection of Abrupt Changes in Signals and Dynamical Systems (1985)Testing and estimating change-points in time series (1985)Stable Non-Gaussian Random ProcessesGennady Samorodnitsky and Murad S. Taqqu Chapman and Hall, 1994 (1997)Testing for Change Points in Time Series (2010)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)ARCH modeling in finance (1992)Detecting multiple breaks in financial market volatility dynamics (2002)Neglecting parameter changes in GARCH models (2005)Introduction to Multiple Time Series Analysis (1993)Limit theorems in change-point analysis (1997)Multiscale Change Point Inference (2014)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Foreign Speculators and Emerging Equity Markets (2000)Has the Business Cycle Changed and Why? (2002)Selective review of offline change point detection methods (2019)Estimating the Current Mean of a Normal Distribution which is Subjected to Changes in Time (1964)Testing a Sequence of Observations for a Shift in Location (1977)Has the U.S. Economy Become More Stable? A Bayesian Approach Based on a Markov-Switching Model of the Business Cycle (1999)Testing for the Constancy of Parameters Over Time (1989)Recursive and Sequential Tests of the Unit Root and Trend Break Hypothesis: Theory and International Evidence (1990)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (1992)What is an Oil Shock? (2000)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (2002)A model of carbon price interactions with macroeconomic and energy dynamics (2011)A gradient boosting method to improve travel time prediction (2015)STATISTICAL ARBITRAGE PAIRS TRADING STRATEGIES: REVIEW AND OUTLOOK (2016)
this work references cited by second hop

References

  • 1993Tests for Parameter Instability and Structural Change With Unknown Change Point4,325 cited
  • 2010Analysis of Financial Time Series1,090 cited
  • 1998Testing For and Dating Common Breaks in Multivariate Time Series434 cited
  • 2000Change-Point Estimation in ARCH Models238 cited
  • 1987Tests for a Change-Point225 cited
  • 1993The Maximum Likelihood Method for Testing Changes in the Parameters of Normal Observations165 cited
  • 1995Testing for a Change in the Parameter Values and Order of an Autoregressive Model148 cited
  • 2006On the detection of changes in autoregressive time series I. Asymptotics79 cited
  • 2002ANALYSIS OF VECTOR AUTOREGRESSIONS IN THE PRESENCE OF SHIFTS IN MEAN31 cited

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