Structural change estimation in time series regressions with endogenous variables
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.
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| Main Authors: | , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2014
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/soe_research/1624 https://ink.library.smu.edu.sg/context/soe_research/article/2623/viewcontent/StructuralChangeEstTSREndoVar_2014.pdf |
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| Institution: | Singapore Management University |
| Language: | English |
| Summary: | 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. |
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