Variance estimators in the chu‐white test for structural change

DOI10.1080/03610919808813523MaRDI QIDQ4232104zbMATH OpenOpenAlexFDO

Authors

Publication date 30 January 2000

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610919808813523

zbMATH Keywords

Brownian bridgeARCH(1) modelschange in trendfractional ARIMA(0,d,0) models

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Linear regression; mixed models (62J05)

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Cites work

• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• A trend-resistant test for structural change based on OLS residuals
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Fractional differencing
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Tests of Equality Between Sets of Coefficients in Two Linear Regressions
• The Cusum Test with Ols Residuals

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