Consistent testing for structural change at the ends of the sample

DOI10.1108/S0731-9053(2012)0000030010MaRDI QIDQ5133603zbMATH OpenOpenAlexFDO

Authors Michael W. McCracken

Publication date 10 November 2020

Published in Advances in Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1108/s0731-9053(2012)0000030010

zbMATH Keywords

structural changepredictive testChow testintercept correction

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Linear regression; mixed models (62J05) Monte Carlo methods (65C05) Hypothesis testing in multivariate analysis (62H15)

Recommendations

• End-of-Sample Instability Tests
• Testing the constancy of regression parameters against continuous structural change
• Predictive tests for structural change with unknown breakpoint
• Likelihood ratio tests for multiple structural changes
• Estimating and Testing Linear Models with Multiple Structural Changes

Cited in

(2)

• Confidence Sets for the Date of a Structural Change at the End of a Sample
• End-of-Sample Instability Tests

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