Exact test for breaks in covariance in multivariate regressions

DOI10.1016/J.ECONLET.2006.10.012zbMATH Open1255.62164OpenAlexW1993951106MaRDI QIDQ1934045FDOQ1934045

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

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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)

Cites Work

• Title not available (Why is that?)
• Exact tests for contemporaneous correlation of disturbances in seemingly unrelated regressions.
• Simulation based finite and large sample tests in multivariate regressions
• Exact Inference Methods for First-Order Autoregressive Distributed Lag Models
• Simulation-based finite-sample tests for heteroskedasticity and ARCH effects
• Title not available (Why is that?)
• Monte Carlo tests with nuisance parameters: a general approach to finite-sample inference and nonstandard asymptotics
• Title not available (Why is that?)

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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