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Structural change estimation in time series regressions with endogenous variables

Junhui Qian () and Liangjun Su

Economics Letters, 2014, vol. 125, issue 3, 415-421

Abstract: We propose to apply the group fused Lasso to estimate time series models with endogenous regressors and an unknown number of breaks. It can correctly determine the number of breaks and estimate the break dates asymptotically. Simulations and applications are given.

Keywords: Group fused Lasso; Multiple breaks; Penalized least squares; Penalized GMM; Structural change (search for similar items in EconPapers)
JEL-codes: C13 C22 (search for similar items in EconPapers)
Date: 2014
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DOI: 10.1016/j.econlet.2014.10.021

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