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Confidence sets for the break date based on optimal tests

Kurozumi, Eiji; Yamamoto, Yohei - 2015

Persistent link: https://www.econbiz.de/10011349992

Likelihood-based confidence sets for the timing of structural breaks

Eo, Yunjong; Morley, James C. - 2013

Persistent link: https://www.econbiz.de/10009775566

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

This paper investigates by means of Monte Carlo techniques the robustness of the CUSUM and CUSUM-of-squares tests (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...

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

Tests for multiple breaks in the trend with stationary or integrated shocks

Sobreiray, Nuno; Nunes, Luis C. - 2012

Persistent link: https://www.econbiz.de/10009710141

Size and power properties of structural break unit root tests

Narayan, Paresh Kumar; Popp, Stephan - In: Applied economics 45 (2013) 4/6, pp. 721-728

Persistent link: https://www.econbiz.de/10009716397

Costs of misspecification in break-model unit-root tests

Maican, Florín G.; Sweeney, Richard J. - In: Applied economics 46 (2014) 1/3, pp. 111-118

Persistent link: https://www.econbiz.de/10010354074

Testing for structural breaks in the presence of data perturbations : impacts and wavelet based improvements

Reese, Simon; Li, Yushu - 2013

Persistent link: https://www.econbiz.de/10010195441

Confidence sets for the break date in cointegrating regressions

Kurozumi, Eiji; Skrobotov, Anton - 2016

Persistent link: https://www.econbiz.de/10011549903

Sudden breaks in drift-independent volatility estimator based on multiple periods open, high, low, and close prices

Kumar, Dilip - In: IIMB management review 28 (2016) 1, pp. 31-42

Persistent link: https://www.econbiz.de/10011508738

Rethinking long memory and structural breaks in the forward premium

Li, Xiaoming - In: Scottish journal of political economy : the journal of … 61 (2014) 4, pp. 455-485

Persistent link: https://www.econbiz.de/10010497725

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