Structural change tests under regression misspecifications.

DOI10.1016/S0165-1765(00)00385-2MaRDI QIDQ5940800zbMATH OpenOpenAlexFDO

Authors Jian Yang

Publication date 20 August 2001

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0165-1765(00)00385-2

zbMATH Keywords

Bessel processChange pointDrifting data generating processSup-Wald testWeak convergence

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Linear inference, regression (62J99)

Recommendations

• Testing for structural change in conditional models
• Least squares estimation and tests of breaks in mean and variance under misspecification
• Testing for structural change in regression quantiles
• Generic consistency of the break‐point estimator under specification errors
• Tests for Parameter Instability and Structural Change With Unknown Change Point

Cites work

• Crossing probabilities for a square root boundary by a bessel process
• scientific article; zbMATH DE number 4043038 (Why is no real title available?)
• Implicit Alternatives and the Local Power of Test Statistics
• Testing for Parameter Constancy in Linear Regressions: An Empirical Distribution Function Approach
• Tests for Parameter Instability and Structural Change With Unknown Change Point

Cited in

(4)

• Misspecified structural change, threshold, and Markov-switching models.
• Least squares estimation and tests of breaks in mean and variance under misspecification
• PIVOTAL STRUCTURAL CHANGE TESTS IN LINEAR SIMULTANEOUS EQUATIONS WITH WEAK IDENTIFICATION
• Structural change tests under heteroskedasticity: Joint estimation versus two‐steps methods

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