Parametric and Semi-Parametric Efficient Tests for Parameter Instability
Author
Abstract
Suggested Citation
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Michael Jansson, 2008.
"Semiparametric Power Envelopes for Tests of the Unit Root Hypothesis,"
Econometrica, Econometric Society, vol. 76(5), pages 1103-1142, September.
- Michael Jansson, 2007. "Semiparametric Power Envelopes for Tests of the Unit Root Hypothesis," CREATES Research Papers 2007-12, Department of Economics and Business Economics, Aarhus University.
- Hansen, Bruce E., 2000.
"Testing for structural change in conditional models,"
Journal of Econometrics, Elsevier, vol. 97(1), pages 93-115, July.
- Bruce E. Hansen, 1998. "Testing for Structural Change in Conditional Models," Boston College Working Papers in Economics 310., Boston College Department of Economics.
- Tom Doan, "undated". "RATS programs to replicate structural break test with Hansen's fixed regressor bootstrap," Statistical Software Components RTZ00089, Boston College Department of Economics.
- Tom Doan, "undated". "REGHBREAK: RATS procedure to perform structural break test with bootstrapped p-values," Statistical Software Components RTS00176, Boston College Department of Economics.
- Graham Elliott & Ulrich K. Muller, 2006. "Efficient Tests for General Persistent Time Variation in Regression Coefficients," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 73(4), pages 907-940.
- Andrews, Donald W K & Ploberger, Werner, 1994.
"Optimal Tests When a Nuisance Parameter Is Present Only under the Alternative,"
Econometrica, Econometric Society, vol. 62(6), pages 1383-1414, November.
- Donald W.K. Andrews & Werner Ploberger, 1992. "Optimal Tests When a Nuisance Parameter Is Present Only Under the Alternative," Cowles Foundation Discussion Papers 1015, Cowles Foundation for Research in Economics, Yale University.
- Drost, Feike C. & Klaassen, Chris A. J., 1997.
"Efficient estimation in semiparametric GARCH models,"
Journal of Econometrics, Elsevier, vol. 81(1), pages 193-221, November.
- Drost, F.C. & Klaassen, C.A.J., 1996. "Efficient Estimation in Semiparametric GARCH Models," Discussion Paper 1996-38, Tilburg University, Center for Economic Research.
- Drost, F.C. & Klaassen, C.A.J., 1997. "Efficient estimation in semiparametric GARCH models," Other publications TiSEM c7de3f1c-c456-433e-a1c6-2, Tilburg University, School of Economics and Management.
- Andrews, Donald W. K. & Lee, Inpyo & Ploberger, Werner, 1996.
"Optimal changepoint tests for normal linear regression,"
Journal of Econometrics, Elsevier, vol. 70(1), pages 9-38, January.
- Donald W.K. Andrews & Inpyo Lee & Werner Ploberger, 1992. "Optimal Changepoint Tests for Normal Linear Regression," Cowles Foundation Discussion Papers 1016, Cowles Foundation for Research in Economics, Yale University.
- Rothenberg, Thomas J. & Stock, James H., 1997. "Inference in a nearly integrated autoregressive model with nonnormal innovations," Journal of Econometrics, Elsevier, vol. 80(2), pages 269-286, October.
- Andrews, Donald W K, 1993.
"Tests for Parameter Instability and Structural Change with Unknown Change Point,"
Econometrica, Econometric Society, vol. 61(4), pages 821-856, July.
- Donald W.K. Andrews, 1990. "Tests for Parameter Instability and Structural Change with Unknown Change Point," Cowles Foundation Discussion Papers 943, Cowles Foundation for Research in Economics, Yale University.
- Dong Jin Lee, 2011. "Bootstrap Tests for Structural Breaks When the Regressors and Error Term are Nonstationary," Working papers 2011-05, University of Connecticut, Department of Economics.
- Jeganathan, P., 1995. "Some Aspects of Asymptotic Theory with Applications to Time Series Models," Econometric Theory, Cambridge University Press, vol. 11(5), pages 818-887, October.
- Marc Hallin & Abdelhadi Akharif, 2003. "Efficient detection of random coefficients in AR(p) models," ULB Institutional Repository 2013/2121, ULB -- Universite Libre de Bruxelles.
- Abdelhadi Akharif & Marc Hallin, 2003. "Efficient detection of random coefficients in autoregressive models," ULB Institutional Repository 2013/127956, ULB -- Universite Libre de Bruxelles.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Dong Jin Lee, 2021. "Bootstrap tests for structural breaks when the regressors and the serially correlated error term are unstable," Bulletin of Economic Research, Wiley Blackwell, vol. 73(2), pages 212-229, April.
- Dong Jin Lee, 2020. "Optimal tests for parameter breaking process in conditional quantile models," The Japanese Economic Review, Springer, vol. 71(3), pages 479-510, July.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Pierre Perron & Yohei Yamamoto, 2022. "Structural change tests under heteroskedasticity: Joint estimation versus two‐steps methods," Journal of Time Series Analysis, Wiley Blackwell, vol. 43(3), pages 389-411, May.
- Rossi, Barbara, 2013.
"Advances in Forecasting under Instability,"
Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 1203-1324,
Elsevier.
- Barbara Rossi, 2011. "Advances in Forecasting Under Instability," Working Papers 11-20, Duke University, Department of Economics.
- Alessandro Casini & Pierre Perron, 2018.
"Structural Breaks in Time Series,"
Boston University - Department of Economics - Working Papers Series
WP2019-02, Boston University - Department of Economics.
- Alessandro Casini & Pierre Perron, 2018. "Structural Breaks in Time Series," Papers 1805.03807, arXiv.org.
- Pierre Perron & Yohei Yamamoto, 2016.
"On the Usefulness or Lack Thereof of Optimality Criteria for Structural Change Tests,"
Econometric Reviews, Taylor & Francis Journals, vol. 35(5), pages 782-844, May.
- Pierre Perron & Yohei Yamamoto, "undated". "On the Usefulness or Lack Thereof of Optimality Criteria for Structural Change Tests," Boston University - Department of Economics - Working Papers Series 2013-012, Boston University - Department of Economics.
- Pierre Perron & Yohei Yamamoto, 2008. "On the Usefulness or Lack Thereof of Optimality Criteria for Structural Change Tests," Boston University - Department of Economics - Working Papers Series wp2008-006, Boston University - Department of Economics.
- Pierre Perron & Yohei Yamamoto, 2012. "On the Usefulness or Lack Thereof of Optimality Criteria for Structural Change Tests," Global COE Hi-Stat Discussion Paper Series gd12-258, Institute of Economic Research, Hitotsubashi University.
- Dominique Guégan & Philippe Peretti, 2013.
"An omnibus test to detect time-heterogeneity in time series,"
Computational Statistics, Springer, vol. 28(3), pages 1225-1239, June.
- Dominique Guegan & Philippe de Peretti, 2010. "An omnibus test to detect time-heterogeneity in time series," Documents de travail du Centre d'Economie de la Sorbonne 10098, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
- Dominique Guegan & Philippe de Peretti, 2011. "An Omnibus Test to Detect Time-Heterogeneity in Time Series," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00560221, HAL.
- Dominique Guegan & Philippe de Peretti, 2012. "An Omnibus Test to Detect Time-Heterogeneity in Time Series," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00721327, HAL.
- Travaglini, Guido, 2007. "The U.S. Dynamic Taylor Rule With Multiple Breaks, 1984-2001," MPRA Paper 3419, University Library of Munich, Germany, revised 15 Jun 2007.
- Somayeh Mardaneh, 2012. "How Do Oil Shocks A¤ect the Structural Stability of Hybrid New Keynesian Phillips Curve?," Discussion Papers in Economics 12/20, Division of Economics, School of Business, University of Leicester.
- YAMAZAKI, Daisuke & 山崎, 大輔 & KUROZUMI, Eiji & 黒住, 英司, 2014. "Improving the Finite Sample Performance of Tests for a Shift in Mean," Discussion Papers 2014-16, Graduate School of Economics, Hitotsubashi University.
- Eiji Kurozumi & Yohei Yamamoto, 2015.
"Confidence sets for the break date based on optimal tests,"
Econometrics Journal, Royal Economic Society, vol. 18(3), pages 412-435, October.
- KUROZUMI, Eiji & 黒住, 英司 & YAMAMOTO, Yohei & 山本, 庸平, 2015. "Confidence Sets for the Break Date Based on Optimal Tests," Discussion Papers 2015-01, Graduate School of Economics, Hitotsubashi University.
- Elliott, Graham & Muller, Ulrich K., 2007.
"Confidence sets for the date of a single break in linear time series regressions,"
Journal of Econometrics, Elsevier, vol. 141(2), pages 1196-1218, December.
- Elliott, Graham & Muller, Ulrich K., 2004. "Confidence Sets for the Date of a Single Break in Linear Time Series Regressions," University of California at San Diego, Economics Working Paper Series qt9hf4j4c2, Department of Economics, UC San Diego.
- Juhl, Ted & Xiao, Zhijie, 2009.
"Tests for changing mean with monotonic power,"
Journal of Econometrics, Elsevier, vol. 148(1), pages 14-24, January.
- Ted Juhl & Zhijie Xiao, 2008. "Tests For Changing Mean With Monotonic Power," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 200809, University of Kansas, Department of Economics, revised Sep 2008.
- Ted Juhl & Zhijie Xiao, 2009. "Tests for Changing Mean with Monotonic Power," Boston College Working Papers in Economics 709, Boston College Department of Economics.
- Leandro M. Magnusson & Sophocles Mavroeidis, 2014.
"Identification Using Stability Restrictions,"
Econometrica, Econometric Society, vol. 82(5), pages 1799-1851, September.
- Leandro M. Magnusson & Sophocles Mavroeidis, 2014. "Identification Using Stability Restrictions," Econometrica, Econometric Society, vol. 82, pages 1799-1851, September.
- Leandro M. Magnusson & Sophocles Mavroeidis, 2011. "Identification Using Stability Restrictions," Working Papers 1116, Tulane University, Department of Economics.
- Oleg Glouchakov, 2006. "Joint change point estimation in regression coeffcients and variances of the errors of a linear model," Working Papers 2006_3, York University, Department of Economics.
- Jamel Jouini, 2006. "Bootstrap Tests in Bivariate VAR Process with Single Structural Change : Power versus Corrected Size and Empirical Illustration," Working Papers halshs-00410759, HAL.
- Yin, Anwen, 2015. "Forecasting and model averaging with structural breaks," ISU General Staff Papers 201501010800005727, Iowa State University, Department of Economics.
- J. Hoyo & G. Llorente & C. Rivero, 2019. "Testing for Constant Parameters in Nonlinear Models: A Quick Procedure with an Empirical Illustration," Computational Economics, Springer;Society for Computational Economics, vol. 54(1), pages 113-137, June.
- Dong Jin Lee, 2021. "Bootstrap tests for structural breaks when the regressors and the serially correlated error term are unstable," Bulletin of Economic Research, Wiley Blackwell, vol. 73(2), pages 212-229, April.
- Fabio Busetti, 2012. "On detecting end-of-sample instabilities," Temi di discussione (Economic working papers) 881, Bank of Italy, Economic Research and International Relations Area.
- Bernard, Jean-Thomas & Idoudi, Nadhem & Khalaf, Lynda & Yelou, Clement, 2007. "Finite sample multivariate structural change tests with application to energy demand models," Journal of Econometrics, Elsevier, vol. 141(2), pages 1219-1244, December.
- Rebeca Jiménez-Rodríguez, 2004. "Oil Price Shocks: Testing for Non-linearity," CSEF Working Papers 115, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
Corrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:jtsera:v:37:y:2016:i:4:p:451-475. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: http://www.blackwellpublishing.com/journal.asp?ref=0143-9782 .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.