This paper proposes an adjusted-range based self-normalized test for change in correlation. Unlike the self-normalization approach proposed by Lobato (2001) and Shao (2010), which relies on the variance of the partial sum process as a self-normalizer, and used by Choi and Shin (2020) to...

In this paper, we introduce adjusted-range based Kolmogorov-Smirnov (KS) type statisticsto test for structural breaks in the mean of a process and also in a more general setting. We propose a normalization based on the adjusted-range of a partial sum, which is stochastically proportional to the...

This paper proposes an adjusted-range based self-normalized tests for changes in correlation coefficient and correlation matrix. Unlike the self-normalization approach proposed by Lobato (2001) and Shao (2010), which relies on the variance of a partial sum process as the self-normalizer, here we...

The Poisson regression model remains an important tool in the econometric analysis of count data. In a pioneering contribution to the econometric analysis of such models, Lung-Fei Lee presented a specification test for a Poisson model against a broad class of discrete distributions sometimes...