Bootstrap test for a structural break under possible heteroscedasticity

DOI10.1080/03610918.2015.1107581MaRDI QIDQ4976599zbMATHOpenAlexFDO

Authors Akio Namba

Publication date 31 July 2017

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610918.2015.1107581

zbMATH Keywords

bootstrapstructural breakChow test

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Bootstrap, jackknife and other resampling methods (62F40) Linear regression; mixed models (62J05)

Recommendations

• A robust bootstrap test under heteroskedasticity
• Bootstrap tests for structural breaks when the regressors and the serially correlated error term are unstable
• Bootstrapping structural change tests
• Bootstrap methods for single structural change tests: power versus corrected size and empirical illustration
• A Bounds Test of Equality Between Sets of Coefficients in Two Linear Regressions When Disturbance Variances are Unequal

Cites work

• A note on estimating and testing for multiple structural changes in models with endogenous regressors via 2SLS
• Bootstrap and wild bootstrap for high dimensional linear models
• Bootstrap methods: another look at the jackknife
• Bootstrap procedures under some non-i.i.d. models
• Bootstrapping heteroskedastic regression models: wild bootstrap vs. pairs bootstrap
• Inference regarding multiple structural changes in linear models with endogenous regressors
• Jackknife, bootstrap and other resampling methods in regression analysis
• Prepivoting to reduce level error of confidence sets
• Small Sample Properties of Tests of Equality between Sets of Coefficients in Two Linear Regressions under Heteroscedasticity
• Tests for Parameter Instability and Structural Change With Unknown Change Point
• Tests of Equality between Sets of Coefficients in Two Linear Regressions when Disturbance Variances are Unequal
• The bootstrap and Edgeworth expansion
• The wild bootstrap, tamed at last

Cited in

(4)

• Bootstrap tests for structural breaks when the regressors and the serially correlated error term are unstable
• A bootstrap test for jumps in financial economics
• A robust bootstrap test under heteroskedasticity
• Bootstrap methods for single structural change tests: power versus corrected size and empirical illustration

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