Article ID Journal Published Year Pages File Type
5059000 Economics Letters 2014 15 Pages PDF
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
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
Preview
Structural change estimation in time series regressions with endogenous variables
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