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Likelihood ratio tests for multiple structural changes

Bai, Jushan - In: Journal of econometrics 91 (1999) 2, pp. 299-323

Persistent link: https://www.econbiz.de/10001382092

Vector autoregressive models with structural changes in regression coefficients and in variance-covariance matrices

Bai, Jushan - In: Annals of economics and finance 1 (2000) 2, pp. 301-336

Persistent link: https://www.econbiz.de/10001731852

Common breaks in means and variances for panel data

Bai, Jushan - In: Journal of econometrics 157 (2010) 1, pp. 78-92

Persistent link: https://www.econbiz.de/10008661845

Quasi-maximum likelihood estimation of break point in high-dimensional factor models

Duan, Jiangtao; Bai, Jushan; Han, Xu - In: Journal of econometrics 233 (2023) 1, pp. 209-236

Persistent link: https://www.econbiz.de/10014340997

Structural changes, common stochastic trends, and unit roots in panel data

Bai, Jushan; Carrion i Silvestre, Josep Lluís - In: The review of economic studies 76 (2009) 2, pp. 471-501

Persistent link: https://www.econbiz.de/10003828176

Structural changes in high dimensional factor models

Bai, Jushan; Han, Xu - In: Frontiers of economics in China : selected publications … 11 (2016) 1, pp. 9-39

Persistent link: https://www.econbiz.de/10011473561

Estimation and inference of change points in high-dimensional factor models

Bai, Jushan; Han, Xu; Shi, Yutang - In: Journal of econometrics 219 (2020) 1, pp. 66-100

Persistent link: https://www.econbiz.de/10012483190

The likelihood ratio test for structural changes in factor models

Bai, Jushan; Duan, Jiangtao; Han, Xu - In: Journal of econometrics 238 (2024) 2, pp. 1-23

Persistent link: https://www.econbiz.de/10015073952

Unit roots and structural breaks

Perron, Pierre - In: Econometrics : open access journal 5 (2017) 2, pp. 1-3

Persistent link: https://www.econbiz.de/10011654429

A Comparison of Alternative Asymptotic Frameworks to Analyze a Structural Change in a Linear Time Trend

Deng, Ai - 2016

This paper considers various asymptotic approximations to the finite sample distribution of the estimate of the break date in a simple one-break model for a linear trend function that exhibits a change in slope, with or without a concurrent change in intercept. The noise component is either...

Persistent link: https://www.econbiz.de/10013002023