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New distribution theory for the estimation of structural break point in mean
16 references·3 citing·34 second hop
New distribution theory for the estimation of structural break point in mean (2018)New distribution theory for the estimatio…Parametric Statistical Change Point Analysis (2011)Parametric Statistical Change…Handbook of Financial Time Series (2009)Handbook of Financial Time Se…Common breaks in means and variances for panel data (2009)Common breaks in means and va…Parameter estimation and bias correction for diffusion processes (2008)Parameter estimation and bias…Dealing with Structural Breaks (2005)Dealing with Structural BreaksEconometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics (2004)Econometric Analysis of Reali…Testing For and Dating Common Breaks in Multivariate Time Series (1998)Testing For and Dating Common…Limit theorems in change-point analysis (1997)Limit theorems in change-poin…Estimation of a Change Point in Multiple Regression Models (1997)Estimation of a Change Point …LEAST SQUARES ESTIMATION OF A SHIFT IN LINEAR PROCESSES (1994)LEAST SQUARES ESTIMATION OF A…Exactly Median-Unbiased Estimation of First Order Autoregressive/Unit Root Models (1993)Exactly Median-Unbiased Estim…Estimating nonlinear time-series models using simulated vector autoregressions (1993)Estimating nonlinear time-ser…The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)The Great Crash, the Oil Pric…Towards a Unified Asymptotic Theory for Autoregression (1987)Towards a Unified Asymptotic …Approximating the Distribution of the Maximum Likelihood Estimate of the Change-Point in a Sequence of Independent Random Variables (1987)Approximating the Distributio…Inference About the Change-Point in a Sequence of Random Variables (1970)Inference About the Change-Po…BOOTSTRAP INFERENCE FOR MULTIPLE CHANGE-POINTS IN TIME SERIES (2021)BOOTSTRAP INFERENCE FOR MULTI…Point optimal testing with roots that are functionally local to unity (2020)Point optimal testing with ro…In-fill asymptotic theory for structural break point in autoregressions (2020)In-fill asymptotic theory for…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Testing for a Unit Root in Time Series Regression (1988)Modelling Nonlinear Economic Time Series (2010)The impact of economic growth on CO2 emissions in Azerbaijan (2018)Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)Sample Splitting and Threshold Estimation (2000)CONTINUOUS INSPECTION SCHEMES (1954)Time Series Analysis: Forecasting and Control (1977)Testing for a unit root in panels with dynamic factors (2004)The local power of some unit root tests for panel data (2004)Efficient tests of stock return predictability☆ (2006)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)ARCH modeling in finance (1992)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (2002)A Theory of the Term Structure of Interest Rates (1985)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Separating microstructure noise from volatility (2005)A framework for assessing the systemic risk of major financial institutions (2009)Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility (2015)Time to Build and Aggregate Fluctuations (1982)Investment, Capacity Utilization and the Real Business Cycle (1986)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)On the Nature of Capital Adjustment Costs (2006)EXPLOSIVE BEHAVIOR IN THE 1990s NASDAQ: WHEN DID EXUBERANCE ESCALATE ASSET VALUES?* (2009)Penalized Maximal t Test for Detecting Undocumented Mean Change in Climate Data Series (2007)Structural breaks in time series (2012)The New Econometrics of Structural Change: Dating Breaks in U.S. Labor Productivity (2001)Do Police Reduce Crime? Estimates Using the Allocation of Police Forces After a Terrorist Attack (2004)Journal De La Société Française De Statistique (2005)Detection of multiple change-points in multivariate time series (2006)Multiscale Change Point Inference (2014)
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References

  • 1989The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis7,685 cited
  • 1997Limit theorems in change-point analysis1,004 cited
  • 2004Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics907 cited
  • 1987Towards a Unified Asymptotic Theory for Autoregression842 cited
  • 1970Inference About the Change-Point in a Sequence of Random Variables831 cited
  • 1997Estimation of a Change Point in Multiple Regression Models829 cited
  • 2005Dealing with Structural Breaks701 cited
  • 1993Estimating nonlinear time-series models using simulated vector autoregressions686 cited
  • 2011Parametric Statistical Change Point Analysis597 cited
  • 1994LEAST SQUARES ESTIMATION OF A SHIFT IN LINEAR PROCESSES494 cited
  • 1993Exactly Median-Unbiased Estimation of First Order Autoregressive/Unit Root Models470 cited
  • 1998Testing For and Dating Common Breaks in Multivariate Time Series434 cited
  • 2009Handbook of Financial Time Series406 cited
  • 2009Common breaks in means and variances for panel data265 cited
  • 2008Parameter estimation and bias correction for diffusion processes154 cited

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  • 1987Approximating the Distribution of the Maximum Likelihood Estimate of the Change-Point in a Sequence of Independent Random Variables151 cited
  • Cited by

    • 2020In-fill asymptotic theory for structural break point in autoregressions12 cited
    • 2020Point optimal testing with roots that are functionally local to unity11 cited
    • 2021BOOTSTRAP INFERENCE FOR MULTIPLE CHANGE-POINTS IN TIME SERIES8 cited