Testing for common breaks in a multiple equations system

DOI10.1016/J.JECONOM.2018.01.003zbMath1387.62075arXiv1606.00092OpenAlexW2963150802MaRDI QIDQ1745616

Tatsushi Oka, Pierre Perron

Publication date: 18 April 2018

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1606.00092

zbMATH Keywords

hypothesis testingchange-pointbreak datessegmented regressionsmultiple equations systems

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Hypothesis testing in multivariate analysis (62H15)

Related Items (4)

Combining \(p\)-values to test for multiple structural breaks in cointegrated regressions ⋮ Inference related to common breaks in a multivariate system with joined segmented trends with applications to global and hemispheric temperatures ⋮ Variable selection in panel models with breaks ⋮ Oracle Efficient Estimation of Structural Breaks in Cointegrating Regressions

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