Publication Type
Journal Article
Version
publishedVersion
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
Citation
QIAN, Junhui and SU, Liangjun.
Structural change estimation in time series regressions with endogenous variables. (2014). Economics Letters. 125, (3), 415-421.
Available at: https://ink.library.smu.edu.sg/soe_research/1624
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Additional URL
https://doi.org/10.1016/j.econlet.2014.10.021