Fixed‐banalysis of LM‐type tests for a shift in mean

DOI10.1111/j.1368-423X.2011.00341.xzbMath1284.62531WikidataQ84319010 ScholiaQ84319010MaRDI QIDQ4913918

Jingjing Yang, Timothy J. Vogelsang

Publication date: 17 April 2013

Published in: The Econometrics Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1368-423x.2011.00341.x

zbMATH Keywords

kernel; structural change; long-run variance; non-monotonic power; data dependent bandwidth

Mathematics Subject Classification ID

62G05: Nonparametric estimation

91B84: Economic time series analysis

62M07: Non-Markovian processes: hypothesis testing

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