Impulse saturation break tests

DOI10.1016/J.ECONLET.2007.04.021MaRDI QIDQ1934682zbMATH OpenOpenAlexFDO

Authors Yanyan Li

Publication date 29 January 2013

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10400.24/1698

zbMATH Keywords

model selectionpower of testsbreaksindicatorsgeneral-to-specific

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Statistical decision theory (62C99)

Recommendations

• SIMPLE, ROBUST, AND POWERFUL TESTS OF THE BREAKING TREND HYPOTHESIS
• Testing for a break at an unknown change-point: A test with known size in small samples
• Unit root tests allowing for a break in the trend function at an unknown time under both the null and alternative hypotheses
• Testing for common breaks in a multiple equations system
• Tests for changing mean with monotonic power

Cites work

• scientific article; zbMATH DE number 5984104 (Why is no real title available?)
• Computer automation of general-to-specific model selection procedures
• Dynamic Econometrics

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