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Estimating the locations and number of change points by the sample-splitting method
14 references·2 citing·41 second hop
Estimating the locations and number of change points by the sample-splitting method (2001)Estimating the locations and number of ch…Finding multiple abrupt change points (1996)Finding multiple abrupt chang…An Analysis of the Real Interest Rate Under Regime Shifts (1996)An Analysis of the Real Inter…Journal of the American Statistical Association (1995)Journal of the American Stati…Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance (1994)Use of Cumulative Sums of Squ…Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)Tests for Parameter Instabili…Detection of Multiple Changes of Variance Using Posterior Odds (1993)Detection of Multiple Changes…Tests for Parameter Instability in Regressions with I(1) Processes (1992)Tests for Parameter Instabili…Tests for Parameter Instability in Regressions with 1(1) Processes (1992)Tests for Parameter Instabili…What does the term structure tell us about future inflation? (1990)What does the term structure …Maximum Likelihood Estimation of Multiple Change Points (1990)Maximum Likelihood Estimation…Locating a Changed Segment in a Sequence of Bernoulli Variables (1990)Locating a Changed Segment in…20 Nonparametric methods for changepoint problems (1988)20 Nonparametric methods for …19 Review about estimation of change points (1988)19 Review about estimation of…CONTINUOUS INSPECTION SCHEMES (1954)CONTINUOUS INSPECTION SCHEMESConvergence in distribution of multiple change point estimators (2011)Convergence in distribution o…Generic consistency of the break‐point estimator under specification errors (2003)Generic consistency of the br…Procedures for Reacting to a Change in Distribution (1971)A Non-Parametric Approach to the Change-Point Problem (1979)Some aspects of change-point analysis (1994)Testing for Changes in Multivariate Dependent Observations with an Application to Temperature Changes (1999)Change Point Detection in Time Series Data Using Autoencoders With a Time-Invariant Representation (2021)Inference About the Change-Point in a Sequence of Random Variables (1970)On the Cusum test for parameter changes in garch(1,1) Models (2000)Inference and Estimation in a Changepoint Regression Problem (2001)Break Detection for a Class of Nonlinear Time Series Models (2008)Nobel Lecture: Inflation and Unemployment (1977)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A bivariate causality between stock prices and exchange rates: evidence from recent Asianflu☆ (2000)Asset Pricing at the Millennium (2000)Dealing with Structural Breaks (2005)Time Series Analysis: Forecasting and Control (1977)A Guide to Simulation (1983)Volatility in Emerging Stock Markets (1999)Selection of estimation window in the presence of breaks (2006)Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets (2016)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Statistical analysis of cointegration vectors (1988)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)Sample Splitting and Threshold Estimation (2000)Exploring the international linkages of the euro area: a global VAR analysis (2007)Testing for the Constancy of Parameters Over Time (1989)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)Econometric policy evaluation: A critique (1976)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Cointegration and Tests of Present Value Models (1987)What Moves the Stock and Bond Markets? A Variance Decomposition for Long‐Term Asset Returns (1993)Household Risk Management and Optimal Mortgage Choice (2003)Inflation Illusion and Stock Prices (2004)Moving to Opportunity in Boston: Early Results of a Randomized Mobility Experiment (2001)Multilevel analyses of neighbourhood socioeconomic context and health outcomes: a critical review: Table 1 (2001)The Relationship Between Education and Adult Mortality in the United States (2004)changepoint : An R Package for Changepoint Analysis (2014)Selective review of offline change point detection methods (2019)Electricity consumption, employment and real income in Australia evidence from multivariate Granger causality tests (2003)An econometric study of CO2 emissions, energy consumption, income and foreign trade in Turkey (2009)
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References

  • 1954CONTINUOUS INSPECTION SCHEMES5,731 cited
  • 1995Journal of the American Statistical Association5,337 cited
  • 1993Tests for Parameter Instability and Structural Change With Unknown Change Point4,325 cited
  • 1994Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance1,180 cited
  • 1992Tests for Parameter Instability in Regressions with 1(1) Processes944 cited
  • 1996An Analysis of the Real Interest Rate Under Regime Shifts779 cited
  • 1992Tests for Parameter Instability in Regressions with I(1) Processes573 cited
  • 1990What does the term structure tell us about future inflation?428 cited
  • 198820 Nonparametric methods for changepoint problems137 cited
  • 198819 Review about estimation of change points110 cited
  • 1990Maximum Likelihood Estimation of Multiple Change Points70 cited
  • 1993Detection of Multiple Changes of Variance Using Posterior Odds69 cited
  • 1996Finding multiple abrupt change points32 cited
  • 1990Locating a Changed Segment in a Sequence of Bernoulli Variables29 cited

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  • 2003Generic consistency of the break‐point estimator under specification errors

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21 cited
  • 2011Convergence in distribution of multiple change point estimators12 cited