Structural change estimation in time series regressions with endogenous variables

C-Tier
Journal: Economics Letters
Year: 2014
Volume: 125
Issue: 3
Pages: 415-421

Authors (2)

Qian, Junhui (Shanghai Jiao Tong University) Su, Liangjun (Tsinghua University)

Score contribution per author:

0.503 = (α=2.01 / 2 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

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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.

Technical Details

RePEc Handle
repec:eee:ecolet:v:125:y:2014:i:3:p:415-421
Journal Field
General
Author Count
2
Added to Database
2026-01-29