TESTING FOR A SHIFT IN TREND AT AN UNKNOWN DATE: A FIXED-B ANALYSIS OF HETEROSKEDASTICITY AUTOCORRELATION ROBUST OLS-BASED TESTS

DOI10.1017/S0266466610000617zbMath1227.62073MaRDI QIDQ3100979

Timothy J. Vogelsang, Özgen Sayginsoy

Publication date: 22 November 2011

Published in: Econometric Theory (Search for Journal in Brave)

Mathematics Subject Classification ID

62G07: Density estimation

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62G20: Asymptotic properties of nonparametric inference

Related Items

Deterministic Parameter Change Models in Continuous and Discrete Time, Heteroscedasticity and Autocorrelation Robust Structural Change Detection, Robust methods for detecting multiple level breaks in autocorrelated time series, Improving the finite sample performance of tests for a shift in mean, Testing for multiple structural changes with non-homogeneous regressors, Confidence sets for the date of a break in level and trend when the order of integration is unknown, Inference on a Structural Break in Trend with Fractionally Integrated Errors, ON THE BEHAVIOR OF FIXED-b TREND BREAK TESTS UNDER FRACTIONAL INTEGRATION, A NOTE ON ESTIMATING AND TESTING FOR MULTIPLE STRUCTURAL CHANGES IN MODELS WITH ENDOGENOUS REGRESSORS VIA 2SLS, Break point estimators for a slope shift: levels versus first differences, A FIXED-bTEST FOR A BREAK IN LEVEL AT AN UNKNOWN TIME UNDER FRACTIONAL INTEGRATION

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