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...

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.