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Combining p-values to test for multiple structural breaks in cointegrated regressions

Bergamelli, Michele; Bianchi, Annamaria; Khalaf, Lynda; … - In: Journal of econometrics 211 (2019) 2, pp. 461-482

Persistent link: https://www.econbiz.de/10012303823

Predictive testing for Granger causality via posterior simulation and cross-validation

Cornwall, Gary J.; Mills, Jeffrey Alan; Sauley, Beau A.; … - 2019

Persistent link: https://www.econbiz.de/10012244159

Kernel quantile estimators for nested simulation with application to portfolio value-at-risk measurement

Liu, Xiaoyu; Yan, Xing; Zhang, Kun - In: European journal of operational research : EJOR 312 (2024) 3, pp. 1168-1177

Persistent link: https://www.econbiz.de/10014456483

The difference, system and 'double-d GMM panel estimators in the presence of structural breaks

Chowdhury, Rosen Azad; Russell, Bill - 2012

Persistent link: https://www.econbiz.de/10009620285

Testing structural breaks versus long memory with the Box-Pierce statistics : a Monte Carlo study

Bisaglia, Luisa; Gerolimetto, Margherita - In: Statistical methods & applications : SMA ; journal of … 18 (2009) 4, pp. 543-553

Persistent link: https://www.econbiz.de/10003900173

International evidence on time-variation in trend labor productivity growth

Wegmüller, Philipp - 2016 - This version: February 2, 2016

This paper provides international evidence on time-variation in trend productivity growth, based on the dataset for hours worked constructed by Ohanian & Raffo (2012). Applying both the endogenous break tests of Bai & Perron (1998, 2003) and the Stock & Watson (1996, 1998) TVP-MUB methodology,...

Persistent link: https://www.econbiz.de/10011419488