Similar Search Results

The limit distribution of the estimates in cointegrated regression models with multiple structural changes

Kejriwal, Mohitosh; Perron, Pierre - In: Journal of econometrics 146 (2008) 1, pp. 59-73

Persistent link: https://www.econbiz.de/10003778212

Testing for multiple structural changes in cointegrated regression models

Kejriwal, Mohitosh; Perron, Pierre - 2008 - Rev. November 20, 2008

Persistent link: https://www.econbiz.de/10003819885

Estimating restricted structural change models

Perron, Pierre; Qu, Zhongjun - In: Journal of econometrics 134 (2006) 2, pp. 373-399

Persistent link: https://www.econbiz.de/10003374322

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

A non-local perspective on the power properties of the CUSUM and CUSUM of squares tests for structural change

Deng, Ai; Perron, Pierre - In: Journal of econometrics 142 (2008) 1, pp. 212-240

Persistent link: https://www.econbiz.de/10003608173

Estimating and testing multiple structural changes in linear models using band spectral regressions

Yamamoto, Yohei; Perron, Pierre - In: The econometrics journal 16 (2013) 3, pp. 400-429

Persistent link: https://www.econbiz.de/10010253633

Data dependent rules for selection of the number of leads and lags in the dynamic OLS cointegrating regression

Kejriwal, Mohitosh; Perron, Pierre - In: Econometric theory 24 (2008) 5, pp. 1425-1441

Persistent link: https://www.econbiz.de/10003748806

Structural breaks with deterministic and stochastic trends

Perron, Pierre; Zhu, Xiaokang - In: Journal of econometrics 129 (2005) 1/2, pp. 65-119

Persistent link: https://www.econbiz.de/10003172697

Tests of return predictability : an analysis of their properties based on a continuous time asymptotic framework

Perron, Pierre; Vodounou, Cosmé - In: Journal of empirical finance 11 (2004) 2, pp. 203-230

Persistent link: https://www.econbiz.de/10001981312

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