Search Results - subject:"Changepoints"

Did you mean: subject:"changepoint" (1,392 results)

Testing for changes in the error distribution in functional linear models

Neumeyer, Natalie; Selk, Leonie - In: Statistical Papers 66 (2025) 2

Abstract We consider linear models with scalar responses and covariates from a separable Hilbert space. The aim is to detect change points in the error distribution, based on sequential residual empirical distribution functions. Expansions for those estimated functions are more challenging in...

Persistent link: https://www.econbiz.de/10015410179

Testing for changes in the error distribution in functional linear models

Neumeyer, Natalie; Selk, Leonie - In: Statistical Papers 66 (2025) 2

We consider linear models with scalar responses and covariates from a separable Hilbert space. The aim is to detect change points in the error distribution, based on sequential residual empirical distribution functions. Expansions for those estimated functions are more challenging in models with...

Persistent link: https://www.econbiz.de/10015407834

Oracle Efficient Estimation of Structural Breaks in Cointegrating Regressions

Schweikert, Karsten - In: Journal of Time Series Analysis 43 (2021) 1, pp. 83-104

In this article, we propose an adaptive group lasso procedure to efficiently estimate structural breaks in cointegrating regressions. It is well known that the group lasso estimator is not simultaneously estimation consistent and model selection consistent in structural break settings. Hence, we...

Persistent link: https://www.econbiz.de/10014485811

Structural panel Bayesian VAR with multivariate time-varying volatility to jointly deal with structural changes, policy regime shifts, and endogeneity issues

Pacifico, Antonio - In: Econometrics 9 (2021) 2, pp. 1-35

This paper improves a standard Structural Panel Bayesian Vector Autoregression model in order to jointly deal with issues of endogeneity, because of omitted factors and unobserved heterogeneity, and volatility, because of policy regime shifts and structural changes. Bayesian methods are used to...

Persistent link: https://www.econbiz.de/10012696325

Structural panel Bayesian VAR with multivariate time-varying volatility to jointly deal with structural changes, policy regime shifts, and endogeneity issues

Pacifico, Antonio - In: Econometrics : open access journal 9 (2021) 2, pp. 1-35

Persistent link: https://www.econbiz.de/10012547425

Inference of Break-Points in High-Dimensional Time Series

Chen, Likai; Wang, Weining; Wu, Wei Biao - 2019

We consider a new procedure for detecting structural breaks in mean for high- dimensional time series. We target breaks happening at unknown time points and locations. In particular, at a fixed time point our method is concerned with either the biggest break in one location or aggregating...

Persistent link: https://www.econbiz.de/10012433227

Duration dependence and change-points in the likelihood of credit booms ending

Castro, Vítor; Kubota, Megumi - Núcleo de Investigação em Políticas Económicas … - 2013

Weibull duration model in order to allow for change-points in the duration dependence parameter. The empirical findings …

Persistent link: https://www.econbiz.de/10010897775

Long Memory and Structural Breaks in Realized Volatility: An Irreversible Markov Switching Approach

Nonejad, Nima - School of Economics and Management, University of Aarhus - 2013

This paper proposes a model that simultaneously captures long memory and structural breaks. We model structural breaks through irreversible Markov switching or so-called change-point dynamics. The parameters subject to structural breaks and the unobserved states which determine the position of...

Persistent link: https://www.econbiz.de/10010851215

The change-point problem and segmentation of processes with conditional heteroskedasticity

Badagián, Ana; Kaiser, Regina; Peña, Daniel - Departamento de Estadistica, Universidad Carlos III de … - 2013

In this paper we explore, analyse and apply the change-points detection and location procedures to conditional … heteroskedastic and exhibits change-points. Based on the fact that a GARCH process can be expressed as an ARMA model in the squares of … the variable, we propose to detect and locate change-points by using the Bayesian Information Criterion as an extension of …

Persistent link: https://www.econbiz.de/10010861882

Are There Change-Points in the Likelihood of a Fiscal Consolidation Ending?

Agnello, Luca; Castro, Vitor; Sousa, Ricardo M. - Grupo de Estudos Monetários e Financeiros (GEMF), … - 2013

Recent research has shown that the likelihood of fiscal consolidations ending is dependent on its age. Whether its behaviour is smooth or bumpy is an issue that deserves further attention. In this paper, we start by building on a narrative approach to identify episodes of fiscal consolidation....

Persistent link: https://www.econbiz.de/10010834004