Testing for structural breaks in return-based style regression models
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DOI: 10.1007/s11408-020-00364-2
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- Yunmi Kim & Douglas Stone & Tae-Hwan Kim, 2020. "Testing for Structural Breaks in Return-Based Style Regression Models," Working papers 2020rwp-165, Yonsei University, Yonsei Economics Research Institute.
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More about this item
Keywords
Structural shift; Boundary parameter; Maximum chow test; Style regression;All these keywords.
JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C18 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Methodolical Issues: General
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