Tests for Parameter Instability and Structural Change With Unknown Change Point

DOI10.2307/2951764MaRDI QIDQ3142741zbMATH OpenOpenAlexFDO

Authors Donald W. K. Andrews

Publication date 15 September 1994

Published in Econometrica (Search for Journal in Brave)

Full work available at URL https://semanticscholar.org/paper/77c986937d205592a007df3661778a5ed4fc4e38

zbMATH Keywords

asymptotic local power optimality propertiesasymptotic null distributionsBessel processBrownian bridgeBrownian motionchange pointgeneralized method of moments estimatorLagrange multiplier testlikelihood ratio teststructural changetables of critical valuestests for parameter instabilityWald testweak convergence

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Asymptotic distribution theory in statistics (62E20) Parametric hypothesis testing (62F03) Asymptotic properties of parametric tests (62F05)

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• Arbitrarily shaped multiple spatial cluster detection for case event data
• Multiscale spectral analysis for detecting short and long range change points in time series
• Drift and breaks in labor productivity
• On the identification of time for parameter variabilities
• Approximate \(p\)-values of predictive tests for structural stability
• Likelihood ratio tests for multiple structural changes
• Testing parameter constancy in linear models against stochastic stationary parameters
• Test for partial parameter instability in regressions with \(I(1)\) processes
• Bayes factors and nonlinearity: Evidence from economic time series
• Sources of nonmonotonic power when testing for a shift in mean of a dynamic time series
• Testing the constancy of regression parameters against continuous structural change
• Time series segmentation: A sliding window approach
• Testing for change-points in long-range dependent time series by means of a self-normalized Wilcoxon test
• Tests of stationarity against a change in persistence
• Modified tests for a change in persistence
• On tests for changes in persistence
• A simple test of changes in mean in the possible presence of long-range dependence
• Predictive tests for structural change with unknown breakpoint
• Stability tests in error correction models
• Tests for changes in models with a polynomial trend
• On the power of the Kolmogorov test to detect the trend of a Brownian bridge with applications to a change-point problem in regression models.
• Approximating the distribution of the maximum partial sum of normal deviates
• Testing for structural change in conditional models
• The long-run relationship between productivity and capital
• Term structure views of monetary policy under alternative models of agent expectations
• The strength of evidence for unit autoregressive roots and structural breaks: A Bayesian perspective
• Local nonlinear least squares: using parametric information in nonparametric regression
• A note on tests for partial parameter instability in the trend stationary model.
• Modeling tails of aggregate economic processes in a stochastic growth model
• Long memory with stochastic variance model: a recursive analysis for US inflation
• Multiple break detection in the correlation structure of random variables
• Testing for unit roots in short panels allowing for a structural break
• Testing for persistence change in fractionally integrated models: an application to world inflation rates
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• The Asian financial crisis and international reserve accumulation: a robust control approach
• A continuous threshold expectile model
• Tree-based varying coefficient regression for longitudinal ordinal responses
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• Selection of an estimation window in the presence of data revisions and recent structural breaks
• Abrupt change in mean using block bootstrap and avoiding variance estimation
• Real-time monitoring test for realized volatility
• Testing for multiple structural changes with non-homogeneous regressors
• International mobility of capital in the United States: robust evidence from time-series tests
• Some remarks on applications of tests for detecting a change point to psychometric problems
• Testing for the cointegration rank in threshold cointegrated systems with multiple cointegrating relationships
• Portmanteau-type tests for unit-root and cointegration
• Testing for structural breaks in factor copula models
• Testing for common breaks in a multiple equations system
• Testing for parameter instability in predictive regression models
• Ecological change points: the strength of density dependence and the loss of history
• Stochastic dominance via quantile regression with applications to investigate arbitrage opportunity and market efficiency
• Emerging markets in the global economic network: real(ly) decoupling?
• Nonlinear joint dynamics between prices of crude oil and refined products
• Score test for parameter change in Poisson autoregressive models
• On testing for structural break of coefficients in factor-augmented regression models
• Long memory interdependency and inefficiency in bitcoin markets
• Fundamentals, regime shifts, and dollar behavior in the 1980s
• GLS detrending, efficient unit root tests and structural change.
• An instrumental variable approach for tests of unit roots and seasonal unit roots in asymmetric time series models.
• Structural change tests for simulated method of moments.
• Misspecified structural change, threshold, and Markov-switching models.
• External bootstrap tests for parameter stability.
• Unit root tests with a break in innovation variance.
• A nonlinear long memory model, with an application to US unemployment.
• Testing for two-regime threshold cointegration in vector error-correction models.
• Estimation and model selection based inference in single and multiple threshold models.
• Testing for stationarity with a break
• What is an oil shock?
• Recent developments in the econometrics of structural change
• Optimal changepoint tests for normal linear regression
• Exact tests for structural change in first-order dynamic models
• The effect of linear filters on dynamic time series with structural change
• Specification testing in Markov-switching time-series models
• Testing structural stability with endogenous breakpoint. A size comparison of analytic and bootstrap procedures
• The Lucas critique revisited: Assessing the stability of empirical Euler equations for investment
• Structural change and unit roots
• Testing for structural breaks in cointegrated relationships
• On the power of tests for superexogeneity and structural invariance
• Optimal inferences for proportional hazards model with parametric covariate transformations
• Detection of structural breaks in linear dynamic panel data models
• A comparison of estimators for regression models with change points
• A robust bootstrap test under heteroskedasticity
• Testing for causality in variance in the presence of breaks
• A note on tests of partial parameter stability in the cointegrated system
• Inference for modulated stationary processes
• Tests of measurement invariance without subgroups: a generalization of classical methods
• Testing for a break at an unknown change-point: A test with known size in small samples
• Detection of change in persistence of a linear time series
• Nonparametric inference on structural breaks
• Fiscal policy in good and bad times
• A model-free consistent test for structural change in regression possibly with endogeneity
• Testing for observation-dependent regime switching in mixture autoregressive models
• Testing constancy in varying coefficient models

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