Testing structural stability with endogenous breakpoint. A size comparison of analytic and bootstrap procedures

DOI10.1016/0304-4076(94)01690-9zbMath0850.62896OpenAlexW2029378576MaRDI QIDQ1906295

Francis X. Diebold, Celia Chen

Publication date: 11 March 1996

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(94)01690-9

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Nonparametric statistical resampling methods (62G09) Probabilistic methods, stochastic differential equations (65C99)

Related Items (20)

Robust GMM tests for structural breaks ⋮ Least squares estimation and tests of breaks in mean and variance under misspecification ⋮ Finite sample multivariate structural change tests with application to energy demand models ⋮ Performance of LM-type unit root tests with trend break: a bootstrap approach ⋮ Block wild bootstrap-based CUSUM tests robust to high persistence and misspecification ⋮ Bootstrap methods for single structural change tests: power versus corrected size and empirical illustration ⋮ Detecting big structural breaks in large factor models ⋮ The option CAPM and the performance of hedge funds ⋮ Estimating and testing high dimensional factor models with multiple structural changes ⋮ The impact of serial correlation on testing for structural change in binary choice model: Monte Carlo evidence ⋮ Do TFP and the relative price of investment share a common I(1) component? ⋮ Lag length and mean break in stationary VAR models ⋮ Dangers of data mining: The case of calendar effects in stock returns ⋮ Predictive ability with cointegrated variables ⋮ Drift and breaks in labor productivity ⋮ Joint tests of contagion with applications ⋮ Bootstrap tests for time varying cointegration ⋮ On the Usefulness or Lack Thereof of Optimality Criteria for Structural Change Tests ⋮ Testing for parameter instability and structural change in persistent predictive regressions ⋮ Markov chain test for time dependence and homogeneity: An analytical and empirical evaluation

Cites Work

• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• Bootstrapping general empirical measures
• Second order and \(L^ p\)-comparisons between the boostrap and empirical Edgeworth expansion methodologies
• Bootstrapping regression models
• Optimal changepoint tests for normal linear regression
• Tests for Parameter Instability and Structural Change With Unknown Change Point
• Tests of Equality Between Sets of Coefficients in Two Linear Regressions
• On the Exact Small Sample Distribution of the Instrumental Variable Estimator
• Monte Carlo Methodology and the Finite Sample Properties of Instrumental Variables Statistics for Testing Nested and Non-Nested Hypotheses
• Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
• The bootstrap and Edgeworth expansion
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: Testing structural stability with endogenous breakpoint. A size comparison of analytic and bootstrap procedures