Exact test for breaks in covariance in multivariate regressions

DOI10.1016/j.econlet.2006.10.012zbMath1255.62164OpenAlexW1993951106MaRDI QIDQ1934045

Lynda Khalaf, Maral Kichian

Publication date: 28 January 2013

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2006.10.012

zbMATH Keywords

structural changeMonte Carlo testheteroskedasticity

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Hypothesis testing in multivariate analysis (62H15) Monte Carlo methods (65C05)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Simulation-based finite-sample tests for heteroskedasticity and ARCH effects
• Monte Carlo tests with nuisance parameters: a general approach to finite-sample inference and nonstandard asymptotics
• Exact tests for contemporaneous correlation of disturbances in seemingly unrelated regressions.
• Simulation based finite and large sample tests in multivariate regressions
• Exact Inference Methods for First-Order Autoregressive Distributed Lag Models

This page was built for publication: Exact test for breaks in covariance in multivariate regressions