On the Usefulness or Lack Thereof of Optimality Criteria for Structural Change Tests
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Publication:5864375
DOI10.1080/07474938.2014.977621zbMath1491.62123OpenAlexW1963788916MaRDI QIDQ5864375
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
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03) Asymptotic properties of parametric tests (62F05)
Related Items (8)
Structural change tests under heteroskedasticity: Joint estimation versus two‐steps methods ⋮ 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 ⋮ Testing for common breaks in a multiple equations system ⋮ Testing for parameter constancy in the time series direction in panel data models ⋮ A modified confidence set for the structural break date in linear regression models ⋮ A comparison of alternative methods to construct confidence intervals for the estimate of a break date in linear regression models
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