Bootstrap test for a structural break under possible heteroscedasticity

DOI10.1080/03610918.2015.1107581zbMATH Open1368.62197OpenAlexW2563710278MaRDI QIDQ4976599FDOQ4976599

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

Recommendations

• A robust bootstrap test under heteroskedasticity
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• A Bounds Test of Equality Between Sets of Coefficients in Two Linear Regressions When Disturbance Variances are Unequal

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)

Cites Work

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

Cited In (3)

• A bootstrap test for jumps in financial economics
• Bootstrap methods for single structural change tests: power versus corrected size and empirical illustration
• A robust bootstrap test under heteroskedasticity

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