Bootstrap methods for single structural change tests: power versus corrected size and empirical illustration

DOI10.1007/S00362-008-0123-6MaRDI QIDQ451370zbMATH OpenOpenAlexFDO

Authors Jamel Jouini

Publication date 23 September 2012

Published in Statistical Papers (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00362-008-0123-6

zbMATH Keywords

graphical methodsbootstrap techniquesbreak date

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Nonparametric statistical resampling methods (62G09) Applications of statistics to actuarial sciences and financial mathematics (62P05) Graphical methods in statistics (62A09)

Recommendations

• Testing for structural change in conditional models
• Bootstrapping structural change tests
• Bootstrap tests for structural breaks when the regressors and the serially correlated error term are unstable
• Bootstrap test for a structural break under possible heteroscedasticity
• Tests for changing mean with monotonic power

Cites work

• scientific article; zbMATH DE number 3782216 (Why is no real title available?)
• A Unified Approach to Structural Change Tests Based on ML Scores,FStatistics, and OLS Residuals
• Bootstrap methods: another look at the jackknife
• Bootstrap procedures under some non-i.i.d. models
• Bootstrap tests and confidence regions for functions of a covariance matrix
• Bootstrap tests: how many bootstraps?
• Estimating and Testing Linear Models with Multiple Structural Changes
• MOSUM tests for parameter constancy
• Maximum Likelihood Estimation of Misspecified Models
• Modified Randomization Tests for Nonparametric Hypotheses
• On the number of bootstrap simulations required to construct a confidence interval
• Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
• Optimal changepoint tests for normal linear regression
• Simulated power functions
• THE SIZE DISTORTION OF BOOTSTRAP TESTS
• Testing for structural change in conditional models
• Testing for the Constancy of Parameters Over Time
• Testing structural stability with endogenous breakpoint. A size comparison of analytic and bootstrap procedures
• Tests For Constancy Of Model Parameters Over Time
• Tests for Parameter Instability and Structural Change With Unknown Change Point
• Tests of Equality Between Sets of Coefficients in Two Linear Regressions
• Tests of the Hypothesis that a Linear Regression System Obeys Two Separate Regimes
• The bootstrap and Edgeworth expansion
• The power of bootstrap and asymptotic tests
• The wild bootstrap, tamed at last

Cited in

(8)

• Erratum to: ``Testing structural changes in panel data with small fixed panel size and bootstrap
• Moving block bootstrapping for a CUSUM test for correlation change
• Change-Point Detection in Two-Phase Regression with Inequality Constraints on the Regression Parameters
• Block bootstrapping for a panel mean break test
• Asymptotic results for hybrids of empirical and partial sums processes
• Wild bootstrap tests for autocorrelation in vector autoregressive models
• Bootstrap test for a structural break under possible heteroscedasticity
• Bootstrap tests for structural breaks when the regressors and the serially correlated error term are unstable

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