Shrinkage estimation of regression models with multiple structural changes
In this paper, we consider the problem of determining the number of structural changes in multiple linear regression models via group fused Lasso. We show that with probability tending to one, our method can correctly determine the unknown number of breaks, and the estimated break dates are sufficie...
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| Main Authors: | , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2016
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/soe_research/1910 https://ink.library.smu.edu.sg/context/soe_research/article/2909/viewcontent/ShrinkageEstimationRegressionModelsMultiple_2014_preprint.pdf |
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| Institution: | Singapore Management University |
| Language: | English |