Testing jointly for structural changes in the error variance and coefficients of a linear regression model
Year of publication: |
2020
|
---|---|
Authors: | Perron, Pierre ; Yamamoto, Yohei ; Zhou, Jing |
Published in: |
Quantitative Economics. - New Haven, CT : The Econometric Society, ISSN 1759-7331. - Vol. 11.2020, 3, p. 1019-1057
|
Publisher: |
New Haven, CT : The Econometric Society |
Subject: | Change-point | variance shift | conditional heteroskedasticity | likeli-hood ratio tests |
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