On the Usefulness or Lack Thereof of Optimality Criteria for Structural Change Tests
DOI10.1080/07474938.2014.977621zbMATH Open1491.62123OpenAlexW1963788916MaRDI QIDQ5864375FDOQ5864375
Authors: Pierre Perron, Yohei Yamamoto 
Publication date: 7 June 2022
Published in: Econometric Reviews (Search for Journal in Brave)
Full work available at URL: http://www.bu.edu/econ/files/2014/05/Perron-On-the-Usefulness-of-Lack-Thereof-June-2013.pdf
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Cites Work
- Title not available (Why is that?)
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- Testing for structural change in conditional models
- Tests for Parameter Instability and Structural Change With Unknown Change Point
- A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
- Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
- Estimating and Testing Linear Models with Multiple Structural Changes
- Testing for the Constancy of Parameters Over Time
- Regression Theory for Near-Integrated Time Series
- Stochastic Comparison of Tests
- Sources of nonmonotonic power when testing for a shift in mean of a dynamic time series
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- The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
- Strong rules for detecting the number of breaks in a time series
- Admissibility of the likelihood ratio test when a nuisance parameter is present only under the alternative
- Efficient Tests for General Persistent Time Variation in Regression Coefficients
- A non-local perspective on the power properties of the CUSUM and CUSUM of squares tests for structural change
- AN EXACT TEST FOR A STOCHASTIC COEFFICIENT IN A TIME SERIES REGRESSION MODEL
- On Detecting Changes in the Mean of Normal Variates
- Tests for changing mean with monotonic power
- Assessing the relative power of structural break tests using a framework based on the approximate Bahadur slope
- Tests for a mean shift with good size and monotonic power
- The Danger of Extrapolating Asymptotic Local Power
- Testing for deterministic trend and seasonal components in time series models
Cited In (10)
- Testing for common breaks in a multiple equations system
- Structural change tests under heteroskedasticity: Joint estimation versus two‐steps methods
- Testing for Changes in Forecasting Performance
- A comparison of alternative methods to construct confidence intervals for the estimate of a break date in linear regression models
- A CROSS-SECTIONAL METHOD FOR RIGHT-TAILED PANIC TESTS UNDER A MODERATELY LOCAL TO UNITY FRAMEWORK
- Testing for shifts in mean with monotonic power against multiple structural changes
- Multiple structural breaks in cointegrating regressions: a model selection approach
- Assessing the relative power of structural break tests using a framework based on the approximate Bahadur slope
- A modified confidence set for the structural break date in linear regression models
- Testing for parameter constancy in the time series direction in panel data models
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