On estimation of the change points in multivariate regression models with structural changes

Fuqi Chen and Sévérien Nkurunziza

Communications in Statistics - Theory and Methods, 2017, vol. 46, issue 14, 7157-7173

Abstract: In this article, we consider the estimation of possibly multiple change points in multivariate regression models with structural changes. A salient feature of the methods is that the dependence structure of the error terms and the regressors can be as weak as that of L2$\mathcal {L}^{2}$-Mixingale arrays of size − 1/2. Further, we also provide some numerical simulations and a real data application to illustrate the efficiency of the proposed methods.

Date: 2017
References: Add references at CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://hdl.handle.net/10.1080/03610926.2016.1143510 (text/html)
Access to full text is restricted to subscribers.

Related works:
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:taf:lstaxx:v:46:y:2017:i:14:p:7157-7173

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/lsta20

DOI: 10.1080/03610926.2016.1143510

Access Statistics for this article

Communications in Statistics - Theory and Methods is currently edited by Debbie Iscoe

More articles in Communications in Statistics - Theory and Methods from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().