4 papers
Rbreak: An R Package for Estimating Structural Breaks under Linear Restrictions with Application to Linear Model Tree
Cheolju Kim, Zhongjun Qu
The package \texttt{rbreak} implements methods for detecting structural breaks and estimating break locations for linear multiple regression models under general linear restriction…
Regime-Switching Models for Disaggregated Data
Anlong Qin, Zhongjun Qu
We show analytically and via simulation that cross-sectional aggregation can substantially attenuate regime-switching signals in time-series data, making regime switches harder to…
Prediction Intervals for Model Averaging
Zhongjun Qu, Wendun Wang, Xiaomeng Zhang
A rich set of frequentist model averaging methods has been developed, but their applications have largely been limited to point prediction, as measuring prediction uncertainty in g…
Fitting Dynamically Misspecified Models: An Optimal Transportation Approach
Jean-Jacques Forneron, Zhongjun Qu
This paper considers filtering, parameter estimation, and testing for potentially dynamically misspecified state-space models. When dynamics are misspecified, filtered values of st…