Finite sample multivariate structural change tests with application to energy demand models

DOI10.1016/J.JECONOM.2007.02.004MaRDI QIDQ289215zbMATH OpenOpenAlexFDO

Authors Jean-Thomas Bernard, Nadhem Idoudi, Lynda Khalaf, Clément Yélou

Publication date 27 May 2016

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

Full work available at URL https://doi.org/10.1016/j.jeconom.2007.02.004

zbMATH Keywords

exact testMonte Carlo teststructural stabilitystructural changemultivariate linear regression model

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Applications of statistics to economics (62P20) Hypothesis testing in multivariate analysis (62H15) Economic models of real-world systems (e.g., electricity markets, etc.) (91B74)

Recommendations

• Estimating and Testing Structural Changes in Multivariate Regressions
• Likelihood ratio tests for multiple structural changes
• Estimating and Testing Linear Models with Multiple Structural Changes
• scientific article; zbMATH DE number 47261
• Testing for structural change in conditional models

Cites work

• scientific article; zbMATH DE number 3949560 (Why is no real title available?)
• scientific article; zbMATH DE number 3962977 (Why is no real title available?)
• scientific article; zbMATH DE number 4062374 (Why is no real title available?)
• scientific article; zbMATH DE number 3208674 (Why is no real title available?)
• scientific article; zbMATH DE number 3271181 (Why is no real title available?)
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Conflict among Criteria for Testing Hypotheses in the Multivariate Linear Regression Model
• Estimating and Testing Linear Models with Multiple Structural Changes
• Exact Inference Methods for First-Order Autoregressive Distributed Lag Models
• Exact multivariate tests of asset pricing models with stable asymmetric distributions
• Exact testing in multivariate regression
• Exact tests for contemporaneous correlation of disturbances in seemingly unrelated regressions.
• Exact tests for structural change in first-order dynamic models
• Finite-sample simulation-based inference in VAR models with application to Granger causality testing
• Interpretation and Use of Generalized Chow Tests
• Measures of multivariate skewness and kurtosis with applications
• Modified Randomization Tests for Nonparametric Hypotheses
• Monte Carlo tests with nuisance parameters: a general approach to finite-sample inference and nonstandard asymptotics
• Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
• Sequential Application of Wilks's Multivariate Outlier Test
• Simulation based finite and large sample tests in multivariate regressions
• Simulation-based finite-sample tests for heteroskedasticity and ARCH effects
• Testing For and Dating Common Breaks in Multivariate Time Series
• Testing for structural change in conditional models
• Testing structural stability with endogenous breakpoint. A size comparison of analytic and bootstrap procedures
• Tests for Parameter Instability and Structural Change With Unknown Change Point
• The Error of Forecast for Multivariate Regression Models

Cited in

(7)

• Hypothesis testing based on a vector of statistics
• Finite-sample resampling-based combined hypothesis tests, with applications to serial correlation and predictability
• Using point optimal test of a simple null hypothesis for testing a composite null hypothesis via maximized Monte Carlo approach
• Structural breaks in time series
• Identification-Robust Inference With Simulation-Based Pseudo-Matching
• Testing for factor loading structural change under common breaks
• A note on likelihood ratio tests of functional form and structural change in demand systems

This page was built for publication: Finite sample multivariate structural change tests with application to energy demand models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q289215)