Finite sample multivariate structural change tests with application to energy demand models

DOI10.1016/j.jeconom.2007.02.004zbMath1418.62418MaRDI QIDQ289215

Clément Yélou, Jean-Thomas Bernard, Nadhem Idoudi, Lynda Khalaf

Publication date: 27 May 2016

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2007.02.004

zbMATH Keywords

structural stability; structural change; Monte Carlo test; exact test; multivariate linear regression model

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62J05: Linear regression; mixed models

62H15: Hypothesis testing in multivariate analysis

91B74: Economic models of real-world systems (e.g., electricity markets, etc.)

Related Items

Finite-sample Resampling-based Combined Hypothesis Tests, with Applications to Serial Correlation and Predictability, Using point optimal test of a simple null hypothesis for testing a composite null hypothesis via maximized Monte Carlo approach, Identification-Robust Inference With Simulation-Based Pseudo-Matching, Testing for factor loading structural change under common breaks, Hypothesis testing based on a vector of statistics, Structural breaks in time series

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