Variance estimators in the chu‐white test for structural change

DOI10.1080/03610919808813523zbMATH Open0929.62014OpenAlexW2062937574MaRDI QIDQ4232104FDOQ4232104

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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

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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)

Cites Work

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

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