Exact tests for structural change in first-order dynamic models

DOI10.1016/0304-4076(94)01683-6zbMath0834.62051OpenAlexW2155612615MaRDI QIDQ1906287

Jean-Marie Dufour, Jan F. Kiviet

Publication date: 12 February 1996

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

Full work available at URL: http://hdl.handle.net/1866/2075

zbMATH Keywords

randomizationCUSUMstructural changeexact inferencepredictive testsfirst-order autoregressive modelanalysis-of-covarianceCUSUM-of-squaresdynamic trend modelfinite-sample tests of parameter constancyindependent normal disturbancesunion- intersection technique

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05) Parametric hypothesis testing (62F03) Hypothesis testing in multivariate analysis (62H15)

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