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A joint test of predictability and structural break in predictive regressions
Fei, Yijie - In: Empirical economics : a quarterly journal of the … 67 (2024) 3, pp. 985-1013
Persistent link: https://www.econbiz.de/10015141902
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Testing for multiple structural changes iin cointegrated regression models
Kejriwal, Mohitosh; Perron, Pierre - In: Journal of business & economic statistics : JBES ; a … 28 (2010) 4, pp. 503-522
Persistent link: https://www.econbiz.de/10008736147
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On testing for structural break of coefficients in factor-augmented regression models
Chen, Sanpan; Cui, Guowei; Zhang, Jianhua - In: Economics letters 161 (2017), pp. 141-145
Persistent link: https://www.econbiz.de/10011904543
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Robust tests for change in intercept and slope in linear regression models with application to manager performance in the mutual fund industry
Pouliot, William - In: Economic modelling 58 (2016), pp. 523-534
Persistent link: https://www.econbiz.de/10011647526
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Is MORE LESS? : the role of data augmentation in testing for structural breaks
Rao, Yao; McCabe, Brendan Peter Martin - In: Economics letters 155 (2017), pp. 131-134
Persistent link: https://www.econbiz.de/10011821631
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Structural breaks of CAPM-type market model with heteroskedasticity and quantile regression
Chen, Cathy W. S.; Khemmanant Khamthong; Lee, Sangyeol - In: Robustness in econometrics, (pp. 111-134). 2017
Persistent link: https://www.econbiz.de/10011801139
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A Non-Local Perspective on the Power Properties of the CUSUM and CUSUM of Squares Tests for Structural Change
Deng, Ai - 2015
We consider the power properties of the CUSUM and CUSUM of squares (CUSQ) tests in the presence of a one-time change in the parameters of a linear regression model. A result due to Ploberger and Krämer [1990. The local power of the cusum and cusum of squares tests. Econometric Theory 6,...
Persistent link: https://www.econbiz.de/10013009369
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Testing for common breaks in a multiple equations system
Oka, Tatsushi; Perron, Pierre - 2018
Persistent link: https://www.econbiz.de/10012583297
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Inference after estimation of breaks
Andrews, Isaiah; Kitagawa, Toru; McCloskey, Adam - 2020
In an important class of econometric problems, researchers select a target parameter by maximizing the Euclidean norm of a data-dependent vector. Examples that can be cast into this frame include threshold regression models with estimated thresholds and structural break models with estimated...
Persistent link: https://www.econbiz.de/10012241853