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

DOI10.1007/S00362-008-0123-6zbMATH Open1247.62124OpenAlexW1965006380MaRDI QIDQ451370FDOQ451370

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

Recommendations

• Testing for structural change in conditional models
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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)

Cites Work

• Maximum Likelihood Estimation of Misspecified Models
• Bootstrap methods: another look at the jackknife
• Title not available (Why is that?)
• Bootstrap procedures under some non-i.i.d. models
• Testing for structural change in conditional models
• Tests for Parameter Instability and Structural Change With Unknown Change Point
• Modified Randomization Tests for Nonparametric Hypotheses
• Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
• THE SIZE DISTORTION OF BOOTSTRAP TESTS
• Estimating and Testing Linear Models with Multiple Structural Changes
• The bootstrap and Edgeworth expansion
• The wild bootstrap, tamed at last
• Tests of Equality Between Sets of Coefficients in Two Linear Regressions
• Testing for the Constancy of Parameters Over Time
• Simulated power functions
• The power of bootstrap and asymptotic tests
• Bootstrap tests: how many bootstraps?
• Optimal changepoint tests for normal linear regression
• Testing structural stability with endogenous breakpoint. A size comparison of analytic and bootstrap procedures
• Tests of the Hypothesis that a Linear Regression System Obeys Two Separate Regimes
• MOSUM tests for parameter constancy
• Bootstrap tests and confidence regions for functions of a covariance matrix
• On the number of bootstrap simulations required to construct a confidence interval
• Tests For Constancy Of Model Parameters Over Time
• A Unified Approach to Structural Change Tests Based on ML Scores,FStatistics, and OLS Residuals

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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