An asymptotically F-distributed Chow test in the presence of heteroscedasticity and autocorrelation
Year of publication: |
2022
|
---|---|
Authors: | Sun, Yixiao ; Wang, Xuexin |
Subject: | Chow test | F distribution | heteroscedasticity and autocorrelation | structural break | Schätztheorie | Estimation theory | Autokorrelation | Autocorrelation | Strukturbruch | Structural break | Zeitreihenanalyse | Time series analysis | Heteroskedastizität | Heteroscedasticity |
-
Estimation and inference under non-stationarity
Qiu, Tian Tian, (2008)
-
A modified confidence set for the structural break date in linear regression models
Yamamoto, Yohei, (2018)
-
Predictive model averaging with parameter instability and heteroskedasticity
Yin, Anwen, (2024)
- More ...
-
An Asymptotic F Test for Uncorrelatedness in the Presence of Time Series Dependence
Wang, Xuexin, (2020)
-
Wang, Xuexin, (2022)
-
Asymptotic F tests under possibly weak identi cation
Martínez-Iriarte, Julián, (2019)
- More ...