Predictive tests for structural change with unknown breakpoint
From MaRDI portal
Recommendations
Cites work
- A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
- A Test for Structural Stability of Euler Conditions Parameters Estimated Via the Generalized Method of Moments Estimator
- Admissibility of the likelihood ratio test when a nuisance parameter is present only under the alternative
- An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
- Are consumption-based intertemporal capital asset pricing models structural?
- Inference in Nonlinear Econometric Models with Structural Change
- Large Sample Properties of Generalized Method of Moments Estimators
- Optimal Tests for Parameter Instability in the Generalized Method of Moments Framework
- Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
- Testing for Structural Change in Dynamic Models
- Tests for Parameter Instability and Structural Change With Unknown Change Point
Cited in
(26)- TESTING FOR STRUCTURAL CHANGE IN THE PRESENCE OF AUXILIARY MODELS
- The power of tests of predictive ability in the presence of structural breaks
- Robust GMM tests for structural breaks
- Nonparametric tests of moment condition stability
- Generalized Predictive Tests and Structural Change Analysis in Econometrics
- Structural change tests for GEL criteria
- Consistent testing for structural change at the ends of the sample
- Optimal Predictive Tests
- Structural change tests for simulated method of moments.
- Covariance matrix estimation and the limiting behavior of the overidentifying restrictions test in the presence of neglected structural instability
- Structural breaks in time series
- Testing for distributional structural change with unknown breaks: application to pricing crop insurance contracts
- Testing for structural instability in moment restriction models: an info-metric approach
- Approximate \(p\)-values of predictive tests for structural stability
- Tests for Parameter Instability and Structural Change With Unknown Change Point
- Critical values and p values of Bessel process distributions: computation and application to structural break tests
- Detecting at-most-\(\mathfrak{m}\) changes in linear regression models
- Random Walks with Drift – A Sequential Approach
- Approximate p-values of certain tests involving hypotheses about multiple breaks
- Sequential testing with uniformly distributed size
- OPTIMAL TESTS FOR NESTED MODEL SELECTION WITH UNDERLYING PARAMETER INSTABILITY
- Inference and prediction in a multiple-structural-break model
- Testing for a break at an unknown change-point: A test with known size in small samples
- External bootstrap tests for parameter stability.
- On tail structural change in U.S. climate data
- Segmenting mean-nonstationary time series via trending regressions
This page was built for publication: Predictive tests for structural change with unknown breakpoint
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1377327)
