Structural change estimation in time series regressions with endogenous variables

We propose to apply the group fused Lasso to estimate time series models with endogenous regressors and an unknown number of breaks. It can correctly determine the number of breaks and estimate the break dates asymptotically. Simulations and applications are given.

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Year of publication:	2014
Authors:	Qian, Junhui ; Su, Liangjun
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 125.2014, 3, p. 415-421
Publisher:	Elsevier
Subject:	Group fused Lasso \| Multiple breaks \| Penalized least squares \| Penalized GMM \| Structural change

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Type of publication:	Article
Classification:	C13 - Estimation ; C22 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011116212