IMPROVED AND EXTENDED END-OF-SAMPLE INSTABILITY TESTS USING A FEASIBLE QUASI-GENERALIZED LEAST SQUARES PROCEDURE

DOI10.1017/S0266466609990442zbMath1294.62206MaRDI QIDQ3580632

Dukpa Kim

Publication date: 13 August 2010

Published in: Econometric Theory (Search for Journal in Brave)

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)

Related Items (3)

Additive model selection ⋮ Testing for parameter constancy in the time series direction in panel data models ⋮ LASSO for streaming data with adaptative filtering

Cites Work

• LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
• Exactly Median-Unbiased Estimation of First Order Autoregressive/Unit Root Models
• End-of-Sample Instability Tests

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