Inference in Nonlinear Econometric Models with Structural Change
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Publication:4733273
DOI10.2307/2297408zbMath0683.62067MaRDI QIDQ4733273
Donald W. K. Andrews, Ray C. Fair
Publication date: 1988
Published in: The Review of Economic Studies (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/7b700aba141a4cc3a42570962f427ddd4f8e15f8
likelihood ratio test; Wald test; asymptotic tests; heteroskedasticity; Lagrange multiplier test; temporal dependence; noncentral chi-square; sequences of local alternatives; testing for structural change; asymptotically chi- square; simultaneous and nonlinear models
62P20: Applications of statistics to economics
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62F03: Parametric hypothesis testing
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