EconPapers    
Economics at your fingertips  
 

SHRINKAGE ESTIMATION OF REGRESSION MODELS WITH MULTIPLE STRUCTURAL CHANGES

Junhui Qian and Liangjun Su ()

Econometric Theory, 2016, vol. 32, issue 6, 1376-1433

Abstract: In this paper, we consider the problem of determining the number of structural changes in multiple linear regression models via group fused Lasso. We show that with probability tending to one, our method can correctly determine the unknown number of breaks, and the estimated break dates are sufficiently close to the true break dates. We obtain estimates of the regression coefficients via post Lasso and establish the asymptotic distributions of the estimates of both break ratios and regression coefficients. We also propose and validate a data-driven method to determine the tuning parameter. Monte Carlo simulations demonstrate that the proposed method works well in finite samples. We illustrate the use of our method with a predictive regression of the equity premium on fundamental information.

Date: 2016
References: Add references at CitEc
Citations: View citations in EconPapers (23)

Downloads: (external link)
https://www.cambridge.org/core/product/identifier/ ... type/journal_article link to article abstract page (text/html)

Related works:
Working Paper: Shrinkage Estimation of Regression Models with Multiple Structural Changes (2014) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cup:etheor:v:32:y:2016:i:06:p:1376-1433_00

Access Statistics for this article

More articles in Econometric Theory from Cambridge University Press Cambridge University Press, UPH, Shaftesbury Road, Cambridge CB2 8BS UK.
Bibliographic data for series maintained by Kirk Stebbing ().

 
Page updated 2025-03-23
Handle: RePEc:cup:etheor:v:32:y:2016:i:06:p:1376-1433_00