Structural Breaks

Author:

Levendis John D.

Publisher

Springer International Publishing

Reference34 articles.

1. Bai, J., Lumsdaine, R. L., & Stock, J. H. (1998). Testing for and dating common breaks in multivariate time series. The Review of Economic Studies, 65(3), 395–432.

2. Bai, J., & Perron, P. (1998). Estimating and testing linear models with multiple structural changes. Econometrica, 66(1), 47–78.

3. Bai, J., & Perron, P. (2003). Computation and analysis of multiple structural change models. Journal of Applied Econometrics, 18(1), 1–22.

4. Banerjee, A., Lumsdaine, R. L., & Stock, J. H. (1992). Recursive and sequential tests of the unit-root and trend-break hypotheses: Theory and international evidence. Journal of Business & Economic Statistics, 10(3), 271–287.

5. Baum, C. (2015). ZANDREWS: Stata module to calculate Zivot-Andrews unit root test in presence of structural break. https://EconPapers.repec.org/RePEc:boc:bocode:s437301

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