OPTIMAL TESTS FOR NESTED MODEL SELECTION WITH UNDERLYING PARAMETER INSTABILITY
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Publication:3375347
DOI10.1017/S0266466605050486zbMATH Open1081.62110MaRDI QIDQ3375347FDOQ3375347
Authors: Barbara Rossi 
Publication date: 8 March 2006
Published in: Econometric Theory (Search for Journal in Brave)
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Cites Work
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- Optimal changepoint tests for normal linear regression
- The power of tests of predictive ability in the presence of structural breaks
- Bootstrap specification tests for diffusion processes
- Tests of the Hypothesis that a Linear Regression System Obeys Two Separate Regimes
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- Admissibility of the likelihood ratio test when a nuisance parameter is present only under the alternative
- Optimal Tests for Parameter Instability in the Generalized Method of Moments Framework
Cited In (11)
- Lag length and mean break in stationary VAR models
- The power of tests of predictive ability in the presence of structural breaks
- Conditional predictive density evaluation in the presence of instabilities
- Inferring the Predictability Induced by a Persistent Regressor in a Predictive Threshold Model
- Estimation and testing of Euler equation models with time-varying reduced-form coefficients
- Trend of commodity prices and exchange rate in Australian economy: time varying parameter model approach
- Optimal test forPAR(1) dependence againstPSETAR(2,1,1) models with specified threshold
- Model comparisons in unstable environments
- Robust inference for predictability in smooth transition predictive regressions
- Parametric and semi-parametric efficient tests for parameter instability
- ARE EXCHANGE RATES REALLY RANDOM WALKS? SOME EVIDENCE ROBUST TO PARAMETER INSTABILITY
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