Another numerical method of finding critical values for the Andrews stability test

DOI10.1017/S0266466611000314MaRDI QIDQ3224043zbMATH OpenFDO

Authors Stanislav Anatolyev, Grigory Kosenok

Publication date 29 March 2012

Published in Econometric Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/S0266466611000314

Mathematics Subject Classification ID

Brownian motion (60J65) Computational methods for problems pertaining to statistics (62-08) Parametric hypothesis testing (62F03)

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Cites work

• A method for numerical integration on an automatic computer
• Boundary crossing probability for Brownian motion
• Boundary-crossing probabilities for the Brownian motion and Poisson processes and techniques for computing the power of the Kolmogorov-Smirnov test
• Crossing probabilities for a square root boundary by a bessel process
• Discussion of ‘Data mining reconsidered’
• Estimating and Testing Linear Models with Multiple Structural Changes
• Tests for Parameter Instability and Structural Change With Unknown Change Point
• Zur Theorie der stochastischen Prozesse. (Existenz- und Eindeutigkeitssätze.)

Cited in

(1)

• Sequential testing with uniformly distributed size

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