TESTING FOR A SHIFT IN TREND AT AN UNKNOWN DATE: A FIXED-B ANALYSIS OF HETEROSKEDASTICITY AUTOCORRELATION ROBUST OLS-BASED TESTS
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Publication:3100979
DOI10.1017/S0266466610000617zbMath1227.62073MaRDI QIDQ3100979
Timothy J. Vogelsang, Özgen Sayginsoy
Publication date: 22 November 2011
Published in: Econometric Theory (Search for Journal in Brave)
Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20)
Related Items (12)
Break point estimators for a slope shift: levels versus first differences ⋮ A FIXED-bTEST FOR A BREAK IN LEVEL AT AN UNKNOWN TIME UNDER FRACTIONAL INTEGRATION ⋮ Heteroscedasticity and Autocorrelation Robust Structural Change Detection ⋮ Improving the finite sample performance of tests for a shift in mean ⋮ HAC robust trend comparisons among climate series with possible level shifts ⋮ Testing for multiple structural changes with non-homogeneous regressors ⋮ Deterministic Parameter Change Models in Continuous and Discrete Time ⋮ Robust methods for detecting multiple level breaks in autocorrelated time series ⋮ Inference on a Structural Break in Trend with Fractionally Integrated Errors ⋮ ON THE BEHAVIOR OF FIXED-b TREND BREAK TESTS UNDER FRACTIONAL INTEGRATION ⋮ Confidence sets for the date of a break in level and trend when the order of integration is unknown ⋮ A NOTE ON ESTIMATING AND TESTING FOR MULTIPLE STRUCTURAL CHANGES IN MODELS WITH ENDOGENOUS REGRESSORS VIA 2SLS
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