Tests for changes in models with a polynomial trend

DOI10.1016/S0304-4076(97)00080-8zbMATH Open0905.62120OpenAlexW1974504707MaRDI QIDQ1379916FDOQ1379916

Authors: Chung-Ming Kuan 

Publication date: 27 January 1999

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

Full work available at URL: https://doi.org/10.1016/s0304-4076(97)00080-8

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zbMATH Keywords

structural changeBrownian bridgepolynomial trendgeneralized fluctuation testtrend stationary model

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic time series analysis (91B84)

Cites Work

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• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Tests for Parameter Instability and Structural Change With Unknown Change Point
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
• Properties of sequences of partial sums of polynomial regression residuals with applications to tests for change of regression at unknown times
• The Cusum Test with Ols Residuals
• A new test for structural stability in the linear regression model
• Asymptotic theory of some tests for a possible change in the regression slope occurring at an unknown time point
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
• MOSUM tests for parameter constancy
• The generalized fluctuation test: A unifying view
• Testing for Parameter Constancy in Linear Regressions: An Empirical Distribution Function Approach
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• The Use of MOSUMS for Quality Control

Cited In (19)

• Monitoring persistent change in a heavy-tailed sequence with polynomial trends
• Title not available (Why is that?)
• A nonparametric test for changing trends
• Nonparametric tests of moment condition stability
• Distinguishing between trend-break models: method and empirical evidence
• Title not available (Why is that?)
• Extensions of some classical methods in change point analysis
• A non‐parametric test for multi‐variate trend functions
• Modeling Test Responses by Multivariable Polynomials of Higher Degrees
• A trend-resistant test for structural change based on OLS residuals
• A note on tests for partial parameter instability in the trend stationary model.
• Recursive estimation in econometrics
• Testing for changes in polynomial regression
• Sequential Monitoring for Changes in Models with a Polynomial Trend
• Monitoring parameter changes in models with a trend
• A test for changing trends with monotonic power
• Testing for multiple structural changes with non-homogeneous regressors
• A powerful test for changing trends in time series models
• ATesting for the Onset of Trend, Using Wavelets

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