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Bootstrap procedures for detecting multiple persistence shifts in heteroskedastic time series

Kejriwal, Mohitosh; Yu, Xuewen; Perron, Pierre - In: Journal of Time Series Analysis 41 (2020) 5, pp. 676-690

Persistent link: https://www.econbiz.de/10012283127

A Robust Sequential Procedure for Estimating the Number of Structural Changes in Persistence

Kejriwal, Mohitosh - In: Oxford Bulletin of Economics and Statistics 82 (2019) 3, pp. 669-685

Persistent link: https://www.econbiz.de/10012192471

Multidimensional skills and the returns to schooling : Evidence from an interactive fixed‐effects approach and a linked survey‐administrative data set

Kejriwal, Mohitosh; Li, Xiaoxiao; Totty, Evan - In: Journal of Applied Econometrics 35 (2020) 5, pp. 548-566

Persistent link: https://www.econbiz.de/10012273430

Structural change tests under heteroskedasticity : Joint estimation versus two‐steps methods

Perron, Pierre; Yamamoto, Yohei - In: Journal of Time Series Analysis 43 (2021) 3, pp. 389-411

Persistent link: https://www.econbiz.de/10012636179

Testing jointly for structural changes in the error variance and coefficients of a linear regression model

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...

Persistent link: https://www.econbiz.de/10012637246