arXiv 26 Aug 2023 · Econometrics
arXiv:2308.13915 · PDF · DOI · OpenAlex · Extracted main text
In this article, we study the statistical and asymptotic properties of break-point estimators in nonstationary autoregressive and predictive regression models for testing the presence of a single structural break at an unknown location in the full sample. Moreover, we investigate aspects such as how the persistence properties of covariates and the location of the break-point affects the limiting distribution of the proposed break-point estimators.
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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 | Pang, T., Du, L., and Chong, T. T.-L (2021) Estimating multiple breaks in nonstationary autoregressive models | 1.000 | 13 | 3 | 100% |
| 2 | Kostakis, A., Magdalinos, T., and Stamatogiannis, M. P (2015) Robust econometric inference for stock return predictability | 1.000 | 6 | 3 | 100% |
| 3 | Katsouris, C (2023) Predictability tests robust against parameter instability self | 0.874 | 7 | 2 | 100% |
| 4 | Katsouris, C (2023) Testing for structural change under nonstationarity self | 0.874 | 5 | 2 | 100% |
| 5 | Kejriwal, M., Yu, X., and Perron, P (2020) Bootstrap procedures for detecting multiple persistence shifts in heteroskedastic time series | 0.811 | 5 | 2 | 80% |
| 6 | Casini, A. and Perron, P (2022) Generalized laplace inference in multiple change-points models | 0.693 | 6 | 1 | 100% |
| 7 | Phillips, P. C. and Magdalinos, T (2009) Econometric inference in the vicinity of unity | 0.693 | 5 | 1 | 100% |
| 8 | Chong, T. T.-L (2001) Structural change in ar (1) models | 0.644 | 4 | 1 | 100% |
| 9 | Duffy, J. A. and Kasparis, I (2021) Estimation and inference in the presence of fractional d= 1/2 and weakly nonstationary processes | 0.644 | 2 | 2 | 100% |
| 10 | Ling, S (2007) Testing for change points in time series models and limiting theorems for ned sequences | 0.644 | 2 | 2 | 100% |
Showing the top 10 of 80 scored citations.