El-Shagi, Makram; Giesen, Sebastian - 2010
presence of heteroscedasticity, whereas the individual parameter Nyblom test and AvgLM test are proved to be highly robust …. However, each test is significantly affected by leptokurtosis. Contrarily to other tests, where skewness is far more … problematic than kurtosis, it has no additional effect for any of the endogenous break tests we analyze. Concerning overall …