Similar Search Results

Robustness of the CUSUM and CUSUM-of-squares tests to serial correlation, endogeneity and lack of Structural invariance : some Monte Carlo evidence /

Caporale, Guglielmo Maria; Pittis, Nikitas - 2004

(Brown et al., 1975) to serial correlation, endogeneity and lack of structural invariance. Our findings suggest that these … tests perform better in the context of a dynamic model of the ADL type, which is not affected by serial correlation or …

Persistent link: https://www.econbiz.de/10009728982

Characteristics, covariances and structural breaks

Chou, Pin-huang; Ko, Kuan-cheng - In: Economics letters 100 (2008) 1, pp. 31-34

Persistent link: https://www.econbiz.de/10003747258

Exact test for breaks in covariance in multivariate regressions

Khalaf, Lynda; Kichian, Maral - In: Economics letters 95 (2007) 2, pp. 241-246

Persistent link: https://www.econbiz.de/10003460432

Breaks in the variability and comovement of G-7 economic growth

Doyle, Brian M.; Faust, Jon - In: The review of economics and statistics 87 (2005) 4, pp. 721-740

Persistent link: https://www.econbiz.de/10003235438

Simple, robust and powerful tests of the breaking trend hypothesis

Harvey, David I. (contributor); … - 2006

Persistent link: https://www.econbiz.de/10003389563

Structural breaks in the correlations between Asian and US stock markets

Lee, Chia-Hao; Chou, Pei-I - In: The North American journal of economics and finance : a … 51 (2020), pp. 1-9

Persistent link: https://www.econbiz.de/10012659820

A self-normalization test for correlation change

Choi, Ji-Eun; Shin, Dong-wan - In: Economics letters 193 (2020), pp. 1-5

Persistent link: https://www.econbiz.de/10012509218

Market integration between conventional and Islamic stock prices

Majdoub, Jihed; Mansour, Walid; Jouini, Jamel - In: The North American journal of economics and finance : a … 37 (2016), pp. 436-457

Persistent link: https://www.econbiz.de/10011672988

Modeling time-varying correlations in volatility between BRICS and commodity markets

Kang, Sang Hoon; McIver, Ron; Yoon, Seong-min - In: Emerging markets finance & trade : a journal of the … 52 (2016) 7/9, pp. 1698-1723

Persistent link: https://www.econbiz.de/10011594437

Estimation of heterogeneous panels with structural breaks

Baltagi, Badi H.; Qu, Feng; Kao, Chihwa - In: Journal of econometrics 191 (2016) 1, pp. 176-195

Persistent link: https://www.econbiz.de/10011598096