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Testing for multiple structural changes with non-homogeneous regressors

Kurozumi, Eiji - 2012

Persistent link: https://www.econbiz.de/10009532158

Testing for multiple structural changes with non-homogeneous regressors

Kurozumi, Eiji - In: Journal of time series econometrics 7 (2015) 1, pp. 1-35

Persistent link: https://www.econbiz.de/10010510054

Construction of stationarity tests with less size distortions

Kurozumi, Eiji (contributor) - 2005

Persistent link: https://www.econbiz.de/10003245143

Testing the rank of a sub-matrix of cointegration with a deterministic trend

Kurozumi, Eiji (contributor) - 2003

Persistent link: https://www.econbiz.de/10002530567

Confidence sets for the date of a mean shift at the end of a sample

Kurozumi, Eiji - 2017

Persistent link: https://www.econbiz.de/10011962352

Model selection criteria in multivariate models with multiple structural changes

Kurozumi, Eiji; Tuvaandorj, Purevdorj - 2010

This paper considers the issue of selecting the number of regressors and the number of structural breaks in multivariate regression models in the possible presence of multiple structural changes. We develop a modified Akaike's information criterion (AIC), a modified Mallows' Cp criterion and a...