Exact test for breaks in covariance in multivariate regressions

DOI10.1016/J.ECONLET.2006.10.012MaRDI QIDQ1934045zbMATH OpenOpenAlexFDO

Authors Lynda Khalaf, Maral Kichian

Publication date 28 January 2013

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2006.10.012

zbMATH Keywords

heteroskedasticityMonte Carlo teststructural change

Mathematics Subject Classification ID

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

Recommendations

• Break detection in the covariance structure of multivariate time series models
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Cites work

• scientific article; zbMATH DE number 4062374 (Why is no real title available?)
• scientific article; zbMATH DE number 3271181 (Why is no real title available?)
• scientific article; zbMATH DE number 3357844 (Why is no real title available?)
• Exact Inference Methods for First-Order Autoregressive Distributed Lag Models
• Exact tests for contemporaneous correlation of disturbances in seemingly unrelated regressions.
• Monte Carlo tests with nuisance parameters: a general approach to finite-sample inference and nonstandard asymptotics
• Simulation based finite and large sample tests in multivariate regressions
• Simulation-based finite-sample tests for heteroskedasticity and ARCH effects

Cited in

(5)

• Exact testing in multivariate regression
• Testing for Breaks in Regression Models with Dependent Data
• Testing for instability in covariance structures
• Cobra: a package for co-breaking analysis
• An exact test for a column of the covariance matrix based on a single observation

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