Detecting multiple structural breaks in systems of linear regression equations with integrated and stationary regressors

dc.contributor.authorSchweikert, Karsten
dc.contributor.corporateSchweikert, Karsten; Core Facility Hohenheim & Institute of Economics, University of Hohenheim, Stuttgart, Germany
dc.date.accessioned2025-07-28T12:06:24Z
dc.date.available2025-07-28T12:06:24Z
dc.date.issued2025
dc.date.updated2025-07-18T14:54:59Z
dc.description.abstractIn this paper, we propose a two‐step procedure based on the group LASSO estimator in combination with a backward elimination algorithm to detect multiple structural breaks in linear regressions with multivariate responses. Applying the two‐step estimator, we jointly detect the number and location of structural breaks and provide consistent estimates of the coefficients. Our framework is flexible enough to allow for a mix of integrated and stationary regressors, as well as deterministic terms. Using simulation experiments, we show that the proposed two‐step estimator performs competitively against the likelihood‐based approach in finite samples. However, the two‐step estimator is computationally much more efficient. An economic application to the identification of structural breaks in the term structure of interest rates illustrates this methodology.en
dc.description.sponsorshipGerman Research Foundation 10.13039/501100001659
dc.identifier.urihttps://doi.org/10.1111/obes.12666
dc.identifier.urihttps://hohpublica.uni-hohenheim.de/handle/123456789/17957
dc.language.isoeng
dc.rights.licensecc_by
dc.subjectCointegration
dc.subjectLASSO
dc.subjectModel selection
dc.subjectMultivariate
dc.subjectShrinkage
dc.subject.ddc330
dc.titleDetecting multiple structural breaks in systems of linear regression equations with integrated and stationary regressorsen
dc.type.diniArticle
dcterms.bibliographicCitationOxford bulletin of economics and statistics, 87 (2025), 4, 850-865. https://doi.org/10.1111/obes.12666. ISSN: 1468-0084
dcterms.bibliographicCitation.issn1468-0084
dcterms.bibliographicCitation.issue4
dcterms.bibliographicCitation.journaltitleOxford bulletin of economics and statistics
dcterms.bibliographicCitation.originalpublishernameWiley
dcterms.bibliographicCitation.originalpublisherplaceOxford
dcterms.bibliographicCitation.pageend865
dcterms.bibliographicCitation.pagestart850
dcterms.bibliographicCitation.volume87
local.export.bibtex@article{Schweikert2025, doi = {10.1111/obes.12666}, author = {Schweikert, Karsten}, title = {Detecting Multiple Structural Breaks in Systems of Linear Regression Equations With Integrated and Stationary Regressors}, journal = {Oxford Bulletin of Economics and Statistics}, year = {2025}, volume = {87}, number = {4}, pages = {850--865}, }
local.title.fullDetecting Multiple Structural Breaks in Systems of Linear Regression Equations With Integrated and Stationary Regressors

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