Finite sample multivariate structural change tests with application to energy demand models

DOI10.1016/j.jeconom.2007.02.004zbMath1418.62418OpenAlexW1988255905MaRDI QIDQ289215

Clément Yélou, Jean-Thomas Bernard, Nadhem Idoudi, Lynda Khalaf

Publication date: 27 May 2016

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2007.02.004

zbMATH Keywords

structural stabilitystructural changeMonte Carlo testexact testmultivariate linear regression model

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Linear regression; mixed models (62J05) Hypothesis testing in multivariate analysis (62H15) Economic models of real-world systems (e.g., electricity markets, etc.) (91B74)

Related Items (6)

Identification-Robust Inference With Simulation-Based Pseudo-Matching ⋮ Hypothesis testing based on a vector of statistics ⋮ Testing for factor loading structural change under common breaks ⋮ Structural breaks in time series ⋮ Finite-sample Resampling-based Combined Hypothesis Tests, with Applications to Serial Correlation and Predictability ⋮ Using point optimal test of a simple null hypothesis for testing a composite null hypothesis via maximized Monte Carlo approach

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