Parametric and Semi-Parametric Efficient Tests for Parameter Instability
From MaRDI portal
Publication:2815046
DOI10.1111/jtsa.12169zbMath1359.62375OpenAlexW1495382566MaRDI QIDQ2815046
Publication date: 27 June 2016
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://media.economics.uconn.edu/working/2008-40r.pdf
structural breakparameter instabilityadaptive testsemiparametric power envelopeasymptotic optimal test
Asymptotic properties of parametric estimators (62F12) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
Cites Work
- Consistent estimation of the influence function of locally asymptotically linear estimators
- A note on the construction of asymptotically linear estimators
- On adaptive estimation
- Inference in a nearly integrated autoregressive model with nonnormal innovations
- Efficient estimation in semiparametric GARCH models
- Efficient estimation in nonlinear autoregressive time-series models
- On adaptive estimation in nonstationary ARMA models with GARCH errors
- Efficient detection of random coefficients in autoregressive models
- Testing for structural change in conditional models
- Asymptotically uniformly most powerful tests in parametric and semiparametric models
- Optimal changepoint tests for normal linear regression
- Efficient Estimation of the Parameter Path in Unstable Time Series Models
- Tests for Parameter Instability and Structural Change With Unknown Change Point
- On Large-Sample Estimation and Testing in Parametric Models
- Efficient Tests for General Persistent Time Variation in Regression Coefficients
- Semiparametric Power Envelopes for Tests of the Unit Root Hypothesis
- Testing for the Constancy of Parameters Over Time
- Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
- Stochastic Limit Theory
- Tests of Statistical Hypotheses Concerning Several Parameters When the Number of Observations is Large
- Sample splitting with Markov chains
This page was built for publication: Parametric and Semi-Parametric Efficient Tests for Parameter Instability
