Perron, Pierre; Yamamoto, Yohei; Zhou, Jing - In: Quantitative Economics 11 (2020) 3, pp. 1019-1057
We provide a comprehensive treatment for the problem of testing jointly for structural changes in both the regression coefficients and the variance of the errors in a single equation system involving stationary regressors. Our framework is quite general in that we allow for general mixing-type...
