000			01554nam a22002417a 4500
003			ZW-GwMSU
005			20240326085146.0
008			240326b |||||||| |||| 00| 0 eng d
022			_a02664666
040			_aMSU _bEnglish _cMSU _erda
050	0	0	_aHB139.T52 ECO
100	1		_aHansen, Bruce E. _eauthor
245	1	0	_aAveraging estimators for regressions with a possible structural break _ccreated by Bruce E. Hansen
264	1		_aCambridge: _bCambridge University Press, _c2009.
336			_2rdacontent _atext _btxt
337			_2rdamedia _aunmediated _bn
338			_2rdacarrier _avolume _bnc
440			_aEconometric theory _vVolume 25, number 6
520	3		_aThis paper investigates selection and averaging of linear regressions with a possible structural break. Our main contribution is the construction of a Mallows criterion for the structural break model. We show that the correct penalty term is nonstandard and depends on unknown parameters, but it can be approximated by an average of limiting cases to yield a feasible penalty with good performance. Following Hansen (2007, Econometrica 75, 1175–1189) we recommend averaging the structural break estimates with the no-break estimates where the weight is selected to minimize the Mallows criterion. This estimator is simple to compute, as the weights are a simple function of the ratio of the penalty to the Andrews SupF test statistic.
650			_aEstimation theory _vRegression analysis _xStructural break
856			_uhttps://doi.org/10.1017/S0266466609990235
942			_2lcc _cJA
999			_c164558 _d164558