Testing jointly for structural changes in the error variance and coefficients of a linear regression model
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Publication:4991659
DOI10.3982/QE1332zbMath1466.62314MaRDI QIDQ4991659
Jing Zhou, Pierre Perron, Yohei Yamamoto
Publication date: 3 June 2021
Published in: Quantitative Economics (Search for Journal in Brave)
Applications of statistics to economics (62P20) Nonparametric hypothesis testing (62G10) Linear regression; mixed models (62J05)
Related Items (5)
Structural change tests under heteroskedasticity: Joint estimation versus two‐steps methods ⋮ Consistent nonparametric change point detection combining CUSUM and marked empirical processes ⋮ Changepoint Detection in Heteroscedastic Random Coefficient Autoregressive Models ⋮ The likelihood ratio test for structural changes in factor models ⋮ Bootstrap procedures for detecting multiple persistence shifts in heteroskedastic time series
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