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

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.

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Year of publication:	2010-01-06
Authors:	JOUINI, Jamel ; Boutahar, Mohamed
Published in:	Economics Bulletin. - AccessEcon, ISSN 1545-2921. - Vol. 30.2010, 1, p. 55-66
Publisher:	AccessEcon
Subject:	Structural change \| bootstrap tests \| size properties

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Extent:	application/pdf
Type of publication:	Article
Language:	English
Classification:	C2 - Econometric Methods: Single Equation Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008476260