Publication Type

Journal Article

Publication Date

12-2014

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

Discipline

Econometrics | Economics

Research Areas

Econometrics

Publication

Economics Letters

Volume

125

Issue

3

First Page

415

Last Page

421

ISSN

0165-1765

Identifier

10.1016/j.econlet.2014.10.021

Publisher

Elsevier

Creative Commons License

Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License
This work is licensed under a Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License.

Additional URL

http://dx.doi.org/10.1016/j.econlet.2014.10.021

Included in

Econometrics Commons

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