Testing for structural breaks in the presence of data perturbations: impacts and wavelet-based improvements

DOI10.1080/00949655.2014.979824MaRDI QIDQ5222299OpenAlexFDO

Authors Simon Reese, Yushu Li

Publication date 1 April 2020

Published in Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL http://project.nek.lu.se/publications/workpap/papers/WP13_36.pdf

zbMATH Keywords

measurement errorstructural breakswavelet transformadditive outlierempirical Bayes thresholding

Mathematics Subject Classification ID

Statistics (62-XX)

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Cites work

• scientific article; zbMATH DE number 3502628 (Why is no real title available?)
• scientific article; zbMATH DE number 1313655 (Why is no real title available?)
• scientific article; zbMATH DE number 1470722 (Why is no real title available?)
• scientific article; zbMATH DE number 927333 (Why is no real title available?)
• scientific article; zbMATH DE number 3069627 (Why is no real title available?)
• A note on estimating and testing for multiple structural changes in models with endogenous regressors via 2SLS
• Adapting to Unknown Smoothness via Wavelet Shrinkage
• An introduction to wavelets and other filtering methods in finance and economics
• Assessing the relative power of structural break tests using a framework based on the approximate Bahadur slope
• Empirical Bayes selection of wavelet thresholds
• Estimating and Testing Linear Models with Multiple Structural Changes
• Ideal spatial adaptation by wavelet shrinkage
• Inference regarding multiple structural changes in linear models with endogenous regressors
• Multiresolution Approximations and Wavelet Orthonormal Bases of L 2 (R)
• Needles and straw in haystacks: Empirical Bayes estimates of possibly sparse sequences
• Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
• Tests of the Hypothesis that a Linear Regression System Obeys Two Separate Regimes
• The contribution of wavelets to the analysis of economic and financial data
• The generalized fluctuation test: A unifying view

Cited in

(2)

• The impact of serial correlation on testing for structural change in binary choice model: Monte Carlo evidence
• Is MORE LESS? The role of data augmentation in testing for structural breaks

Describes a project that uses

Uses Software

• EBayesThresh
• wmtsa

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