Bootstrap methods for single structural change tests: power versus corrected size and empirical illustration

DOI10.1007/s00362-008-0123-6zbMath1247.62124OpenAlexW1965006380MaRDI QIDQ451370

Jamel Jouini

Publication date: 23 September 2012

Published in: Statistical Papers (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00362-008-0123-6

zbMATH Keywords

graphical methodsbootstrap techniquesbreak date

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric statistical resampling methods (62G09) Graphical methods in statistics (62A09)

Related Items

Block bootstrapping for a panel mean break test, Wild bootstrap tests for autocorrelation in vector autoregressive models, Asymptotic results for hybrids of empirical and partial sums processes, Moving block bootstrapping for a CUSUM test for correlation change, Change-Point Detection in Two-Phase Regression with Inequality Constraints on the Regression Parameters

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