Approximate p-Values of Certain Tests Involving Hypotheses About Multiple Breaks

DOI10.1515/jem-2012-0014zbMath1279.62047OpenAlexW2157123239MaRDI QIDQ2870574

Nikolaos D. Sakkas, Alastair R. Hall

Publication date: 21 January 2014

Published in: Journal of Econometric Methods (Search for Journal in Brave)

Full work available at URL: http://opus.bath.ac.uk/32074/1/Hall_Sakkas_2013.pdf

zbMATH Keywords

least squaresregression modelstests of parameter variation

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Asymptotic properties of parametric tests (62F05)

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Cites Work

• Inference regarding multiple structural changes in linear models with endogenous regressors
• Estimation and inference in unstable nonlinear least squares models
• Approximate \(p\)-values of predictive tests for structural stability
• Predictive tests for structural change with unknown breakpoint
• Tests for Parameter Instability and Structural Change With Unknown Change Point
• Generic consistency of the break-point estimators under specification errors in a multiple-break model
• Critical values for multiple structural change tests
• Estimating and Testing Linear Models with Multiple Structural Changes

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