Shrinkage Estimation of Regression Models with Multiple Structural Changes

• Main Authors: QIAN, Junhui, SU, Liangjun
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2014
• Subjects: Change point; Fused Lasso; Group Lasso; Penalized least squares; Structural change; Econometrics
• Online Access: https://ink.library.smu.edu.sg/soe_research/1595; https://ink.library.smu.edu.sg/context/soe_research/article/2594/viewcontent/06_2014.pdf
• Institution: Singapore Management University

In this paper we consider the problem of determining the number of structural changes in multiple linear regression models via group fused Lasso (least absolute shrinkage and selection operator). We show that with probability tending to one our method can correctly determine the unknown number of br...