On the Usefulness or Lack Thereof of Optimality Criteria for Structural Change Tests
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Cites work
- A non-local perspective on the power properties of the CUSUM and CUSUM of squares tests for structural change
- A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
- Admissibility of the likelihood ratio test when a nuisance parameter is present only under the alternative
- AN EXACT TEST FOR A STOCHASTIC COEFFICIENT IN A TIME SERIES REGRESSION MODEL
- Assessing the relative power of structural break tests using a framework based on the approximate Bahadur slope
- Efficient Tests for General Persistent Time Variation in Regression Coefficients
- Estimating and Testing Linear Models with Multiple Structural Changes
- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
- scientific article; zbMATH DE number 3502628 (Why is no real title available?)
- Long memory and stochastic trend.
- On Detecting Changes in the Mean of Normal Variates
- Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
- Regression Theory for Near-Integrated Time Series
- Sources of nonmonotonic power when testing for a shift in mean of a dynamic time series
- Stochastic Comparison of Tests
- Strong rules for detecting the number of breaks in a time series
- Testing for deterministic trend and seasonal components in time series models
- Testing for structural change in conditional models
- Testing for the Constancy of Parameters Over Time
- Testing structural stability with endogenous breakpoint. A size comparison of analytic and bootstrap procedures
- Tests for a mean shift with good size and monotonic power
- Tests for changing mean with monotonic power
- Tests for Parameter Instability and Structural Change With Unknown Change Point
- The Danger of Extrapolating Asymptotic Local Power
- The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
Cited in
(11)- Testing for common breaks in a multiple equations system
- 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
- Structural change tests under heteroskedasticity: Joint estimation versus two‐steps methods
- Testing for shifts in mean with monotonic power against multiple structural changes
- 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
- A CROSS-SECTIONAL METHOD FOR RIGHT-TAILED PANIC TESTS UNDER A MODERATELY LOCAL TO UNITY FRAMEWORK
- Testing for Changes in Forecasting Performance
- Testing for stationary or persistent coefficient randomness in predictive regressions
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