Detecting Multiple Structural Breaks in Systems of Linear Regression Equations with Integrated and Stationary Regressors
含单整与平稳解释变量的线性回归方程系统多重结构突变检测
In 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…