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Using OLS to estimate and test for structural changes in models with endogenous regressors
Perron, Pierre; Yamamoto, Yohei - In: Journal of applied econometrics 30 (2015) 1, pp. 119-144
Persistent link: https://www.econbiz.de/10011327644
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On the usefulness or lack thereof of optimality criteria for structural change tests
Perron, Pierre; Yamamoto, Yohei - 2012
Persistent link: https://www.econbiz.de/10009666607
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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
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A note on estimating and testing for multiple structural changes in models with endogenous regressors via 2SLS
Perron, Pierre; Yamamoto, Yohei - In: Econometric theory 30 (2014) 2, pp. 491-507
Persistent link: https://www.econbiz.de/10010399749
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The great moderation : updated evidence with joint tests for multiple structural changes in variance and persistence
Perron, Pierre; Yamamoto, Yohei - In: Empirical economics : a quarterly journal of the … 62 (2022) 3, pp. 1193-1218
Persistent link: https://www.econbiz.de/10012819527
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Pitfalls of two step testing for changes in the error variance and coefficients of a linear regression model
Perron, Pierre; Yamamoto, Yohei - 2019
Persistent link: https://www.econbiz.de/10012418079
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On the usefulness or lack thereof of optimality criteria for structural change tests
Perron, Pierre; Yamamoto, Yohei - In: Econometric reviews 35 (2016) 5/7, pp. 782-844
Persistent link: https://www.econbiz.de/10011589912
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Testing for changes in forecasting performance
Perron, Pierre; Yamamoto, Yohei - 2018
Persistent link: https://www.econbiz.de/10011962445
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Testing for changes in forecasting performance
Perron, Pierre; Yamamoto, Yohei - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 1, pp. 148-165
Persistent link: https://www.econbiz.de/10012424505
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Testing jointly for structural changes in the error variance and coefficients of a linear regression model
Perron, Pierre; Yamamoto, Yohei; Zhou, Jing - In: Quantitative economics : QE ; journal of the … 11 (2020) 3, pp. 1019-1057
We provide a comprehensive treatment for the problem of testing jointly for structural changes in both the regression coefficients and the variance of the errors in a single equation system involving stationary regressors. Our framework is quite general in that we allow for general mixing‐type...
Persistent link: https://www.econbiz.de/10012315798