arXiv 14 Jan 2022 · Econometrics · publishedOxford Bulletin of Economics and Statistics (2025) · 2 citations (OpenAlex)
arXiv:2201.05430 · PDF · DOI · OpenAlex · Extracted main text
In this paper, we propose a two-step procedure based on the group LASSO estimator in combination with a backward elimination algorithm to detect multiple structural breaks in linear regressions with multivariate responses. Applying the two-step estimator, we jointly detect the number and location of structural breaks, and provide consistent estimates of the coefficients. Our framework is flexible enough to allow for a mix of integrated and stationary regressors, as well as deterministic terms. Using simulation experiments, we show that the proposed two-step estimator performs competitively against the likelihood-based approach (Qu and Perron, 2007; Li and Perron, 2017; Oka and Perron, 2018) in finite samples. However, the two-step estimator is computationally much more efficient. An economic application to the identification of structural breaks in the term structure of interest rates illustrates this methodology.
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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 | Qu, Z., Perron, P (2007) Estimating and testing structural change in multivariate regressions | 1.000 | 11 | 4 | 100% |
| 2 | Safikhani, A., Shojaie, A (2022) Joint Structural Break Detection and Parameter Estimation in High-Dimensional Nonstationary VAR Models | 1.000 | 10 | 3 | 100% |
| 3 | Oka, T., Perron, P (2018) Testing for common breaks in a multiple equations system | 1.000 | 9 | 3 | 100% |
| 4 | Schweikert, K (2022) Oracle Efficient Estimation of Structural Breaks in Cointegrating Regressions self | 1.000 | 8 | 3 | 100% |
| 5 | Bai, J., Lumsdaine, R.L., Stock, J.H (1998) Testing for and Dating Common Breaks in Multivariate Time Series | 1.000 | 6 | 3 | 100% |
| 6 | Chan, N.H., Yau, C.Y., Zhang, R.M (2014) Group LASSO for Structural Break Time Series | 0.956 | 16 | 3 | 88% |
| 7 | Li, Y., Perron, P (2017) Inference on locally ordered breaks in multiple regressions | 0.956 | 8 | 4 | 88% |
| 8 | Gao, W., Yang, H., Yang, L (2020) Change points detection and parameter estimation for multivariate time series | 0.874 | 6 | 2 | 100% |
| 9 | Bai, J., Perron, P (1998) Estimating and Testing Linear Models with Multiple Structural Changes | 0.843 | 3 | 3 | 100% |
| 10 | Hansen, P.R (2003) Structural changes in the cointegrated vector autoregressive model | 0.811 | 4 | 2 | 100% |
Showing the top 10 of 52 scored citations.