Estimation and inference in unstable nonlinear least squares models
نویسندگان
چکیده
منابع مشابه
Estimation and Inference in Unstable Nonlinear Least Squares Models
In this paper, we extend Bai and Perron’s (1998, Econometrica, pp. 47-78) method for detecting multiple breaks to nonlinear models. To that end, we consider an unstable univariate nonlinear least squares (NLS) model with a limited number of parameter shifts occurring at unknown dates. In our framework, the break-dates are simultaneously estimated with the parameters via minimization of the resi...
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ژورنال
عنوان ژورنال: Journal of Econometrics
سال: 2013
ISSN: 0304-4076
DOI: 10.1016/j.jeconom.2012.09.004