arXiv 9 Nov 2018 · Econometrics · 1 citations (OpenAlex)
arXiv:1811.03720 · PDF · DOI · OpenAlex · Extracted main text
This study proposes a point estimator of the break location for a one-time structural break in linear regression models. If the break magnitude is small, the least-squares estimator of the break date has two modes at the ends of the finite sample period, regardless of the true break location. To solve this problem, I suggest an alternative estimator based on a modification of the least-squares objective function. The modified objective function incorporates estimation uncertainty that varies across potential break dates. The new break point estimator is consistent and has a unimodal finite sample distribution under small break magnitudes. A limit distribution is provided under an in-fill asymptotic framework. Monte Carlo simulation results suggest that the new estimator outperforms the least-squares estimator. I apply the method to estimate the break date in U.S. real GDP growth and U.S. and UK stock return prediction models.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Elliott, G., and Müller, U. K (2007) Confidence sets for the date of a single break in linear time series regression | 1.000 | 7 | 3 | 100% |
| 2 | Jiang, L., Wang, X., and Yu, S (2017) In-fill asymptotic theory for structural break point in autoregression: A unified theory., Singapore Management University, Scho… | 0.974 | 13 | 5 | 92% |
| 3 | Bai, J (1997) Estimation of a change point in multiple regression models | 0.928 | 10 | 5 | 80% |
| 4 | Jiang, L., Wang, X., and Yu, S (2018) New distribution theory for the estimation of structural break | 0.928 | 4 | 3 | 100% |
| 5 | Bai, J., and Perron, P (1998) Estimating and testing linear models with multiple structural changes | 0.894 | 7 | 3 | 71% |
| 6 | Amemiya, T (1985) Advanced Econometrics | 0.811 | 4 | 2 | 100% |
| 7 | Bai, J (1994) Least squares estimation of a shift in linear processes | 0.811 | 4 | 2 | 100% |
| 8 | Bai, J., Lumsdaine, R. L., and Stock, J (1998) Testing for and dating common breaks in multivariate time series | 0.737 | 3 | 2 | 100% |
| 9 | Casini, A., and Perron, P (2019) Continuous record Laplace-based inference about the break Date in structural models., arXiv preprint arXiv:1804.00232 | 0.737 | 3 | 2 | 100% |
| 10 | Paye, B. S., and Timmermann, A (2006) Instability of return prediction models | 0.693 | 8 | 1 | 100% |
Showing the top 10 of 37 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | Continuous Record Laplace-based Inference about the Break Date in Structural Change Models | 0.405 | 1 | 1 |