Strong rules for detecting the number of breaks in a time series

Journal of Econometrics

Volumn 117, Issue 2, 2003, Pages 207-244

  Altissimo, Filippo ^a,b   Corradi, Valentina ^c  

^a Research Department   (Italy)

^b CEPR   (United Kingdom)

^c UNIVERSITY OF EXETER BUSINESS SCHOOL   (United Kingdom)

Author keywords

Brownian bridge; Law of the iterated logarithm; Multiple structural breaks; Sequential hypothesis testing

Indexed keywords

DECISION THEORY; ERROR ANALYSIS; ITERATIVE METHODS; NONLINEAR SYSTEMS; PROBABILITY; THEOREM PROVING;

BROWNIAN BRIDGES; STRUCTURAL BREAKS;

TIME SERIES ANALYSIS;

EID: 0347985227     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-4076(03)00147-7     Document Type: Article

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