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The finite-sample properties of bootstrap tests in multiple structural change models

Author

Listed:
  • Jamel JOUINI

    (FSEGN and LEGI-EPT, Université 7 Novembre de Carthage, Tunisia)

  • Mohamed Boutahar

    (Faculté des Sciences de Luminy, Université de la Méditerranée, France)

Abstract

We propose bootstrap methods to approximate the distributions of test statistics for multiple structural breaks. The major advantage of these methods is that they allow freeing us from the constraints imposed by the asymptotic theory on parameters of the model. We also find that the asymptotic critical values lead to serious size distortions while, on the contrary, the bootstrap procedure leads to remarkably reliable tests in dynamic models.

Suggested Citation

  • Jamel JOUINI & Mohamed Boutahar, 2010. "The finite-sample properties of bootstrap tests in multiple structural change models," Economics Bulletin, AccessEcon, vol. 30(1), pages 55-66.
    • Handle: RePEc:ebl:ecbull:eb-09-00447
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    References listed on IDEAS

    as
    1. James G. MacKinnon, 2002. "Bootstrap inference in econometrics," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 35(4), pages 615-645, November.
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    3. Kreps,David M. & Wallis,Kenneth F. (ed.), 1997. "Advances in Economics and Econometrics: Theory and Applications," Cambridge Books, Cambridge University Press, number 9780521589833, September.
    4. Diebold, Francis X. & Chen, Celia, 1996. "Testing structural stability with endogenous breakpoint A size comparison of analytic and bootstrap procedures," Journal of Econometrics, Elsevier, vol. 70(1), pages 221-241, January.
    5. Russell Davidson & James MacKinnon, 2000. "Bootstrap tests: how many bootstraps?," Econometric Reviews, Taylor & Francis Journals, vol. 19(1), pages 55-68.
    6. Kreps,David M. & Wallis,Kenneth F. (ed.), 1997. "Advances in Economics and Econometrics: Theory and Applications," Cambridge Books, Cambridge University Press, number 9780521589819, September.
    7. Corbae,Dean & Durlauf,Steven N. & Hansen,Bruce E. (ed.), 2006. "Econometric Theory and Practice," Cambridge Books, Cambridge University Press, number 9780521807234, September.
    8. Kreps,David M. & Wallis,Kenneth F. (ed.), 1997. "Advances in Economics and Econometrics: Theory and Applications," Cambridge Books, Cambridge University Press, number 9780521589826, September.
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    More about this item

    Keywords

    Structural change; bootstrap tests; size properties;
    All these keywords.

    JEL classification:

    • C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables

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