Analysis of structural break models based on the evolutionary spectrum: Monte Carlo study and application

DOI10.1080/02664760802443889zbMath1474.62309OpenAlexW1990564956MaRDI QIDQ3183869

Jamel Jouini

Publication date: 21 October 2009

Published in: Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02664760802443889

zbMATH Keywords

evolutionary spectrumbreak datesselection proceduressize and powercoverage rates

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05) Inference from stochastic processes and spectral analysis (62M15)

Cites Work

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