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Model selection criteria in multivariate models with multiple structural changes

Kurozumi, Eiji; Tuvaandorj, Purevdorj - In: Journal of Econometrics 164 (2011) 2, pp. 218-238

This paper considers the issue of selecting the number of regressors and the number of structural breaks in multivariate regression models in the possible presence of multiple structural changes. We develop a modified Akaike information criterion (AIC), a modified Mallows' Cp criterion and a...

Persistent link: https://www.econbiz.de/10009275066

Testing for multiple structural changes with non-homogeneous regressors

Kurozumi, Eiji - In: Journal of time series econometrics 7 (2015) 1, pp. 1-35

Persistent link: https://www.econbiz.de/10010510054

Asymptotic properties of bubble monitoring tests

Kurozumi, Eiji - In: Econometric reviews 39 (2020) 5, pp. 510-538

Persistent link: https://www.econbiz.de/10012181408

Novel panel cointegration tests emending for cross-section dependence with N fixed

Hadri, Kaddour; Kurozumi, Eiji; Rao, Yao - In: The econometrics journal 18 (2015) 3, pp. 363-411

Persistent link: https://www.econbiz.de/10011473812

Confidence sets for the break date based on optimal tests

Kurozumi, Eiji; Yamamoto, Yohei - In: The econometrics journal 18 (2015) 3, pp. 412-435

Persistent link: https://www.econbiz.de/10011473814

Confidence sets for the break date in cointegrating regressions

Kurozumi, Eiji; Skrobotov, Anton - In: Oxford bulletin of economics and statistics 80 (2018) 3, pp. 514-535

Persistent link: https://www.econbiz.de/10011969523

Time-transformed test for bubbles under non-stationary volatility

Kurozumi, Eiji; Skrobotov, Anton; Tsarev, Alexey - In: Journal of financial econometrics 21 (2023) 4, pp. 1282-1307

Persistent link: https://www.econbiz.de/10014391459

In-fill asymptotic distribution of the change point estimator when estimating breaks one at a time

Tayanagi, Toshikazu; Kurozumi, Eiji - In: Journal of time series econometrics 15 (2023) 2, pp. 111-149

Persistent link: https://www.econbiz.de/10014465604

Regression discontinuity designs, white noise models, and minimax

Tuvaandorj, Purevdorj - In: Journal of econometrics 218 (2020) 2, pp. 587-608

Persistent link: https://www.econbiz.de/10012483172

Invariant tests based on M-estimators, estimating functions, and the generalized method of moments

Dufour, Jean-Marie; Trognon, Alain; Tuvaandorj, Purevdorj - In: Econometric reviews 36 (2017) 1/3, pp. 182-204

Persistent link: https://www.econbiz.de/10011795165

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