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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 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/10013189746

Structural change tests under heteroskedasticity : Joint estimation versus two‐steps methods

Perron, Pierre; Yamamoto, Yohei - In: Journal of Time Series Analysis 43 (2021) 3, pp. 389-411

Persistent link: https://www.econbiz.de/10012636179

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 11 (2020) 3, pp. 1019-1057

Persistent link: https://www.econbiz.de/10012637246

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

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

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

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

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

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

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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