CRITICAL VALUES AND P VALUES OF BESSEL PROCESS DISTRIBUTIONS: COMPUTATION AND APPLICATION TO STRUCTURAL BREAK TESTS

DOI10.1017/S0266466603196107zbMath1441.62677MaRDI QIDQ4562551

Arturo Estrella

Publication date: 21 December 2018

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) Parametric hypothesis testing (62F03) Sequential statistical analysis (62L10) Asymptotic properties of parametric tests (62F05)

Related Items (10)

Impact factors ⋮ \(\phi\)-divergence based procedure for parametric change-point problems ⋮ Assessing the relative power of structural break tests using a framework based on the approximate Bahadur slope ⋮ Chi-square processes for gene mapping in a population with family structure ⋮ High excursions of Bessel and related random processes ⋮ Inference and testing breaks in large dynamic panels with strong cross sectional dependence ⋮ High excursions of Bessel process and other processes of Bessel type ⋮ On testing for structural break of coefficients in factor-augmented regression models ⋮ Testing axial symmetry by means of directional regression quantiles ⋮ A note on the structural change test in highly parameterized psychometric models

Cites Work

• Unnamed Item
• Sequential analysis. Tests and confidence intervals
• Boundary crossing probabilities and statistical applications
• Asymptotic inference for a change-point Poisson process
• Likelihood ratio tests for multiple structural changes
• Predictive tests for structural change with unknown breakpoint
• Tests for Parameter Instability and Structural Change With Unknown Change Point
• Tests for a change-point
• Crossing probabilities for a square root boundary by a bessel process
• Maximally Selected Chi Square Statistics
• An absorption probability for the Ornstein-Uhlenbeck process
• Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
• Estimating and Testing Linear Models with Multiple Structural Changes
• Inference in Nonlinear Econometric Models with Structural Change
• Asymptotic Theory of Certain "Goodness of Fit" Criteria Based on Stochastic Processes

This page was built for publication: CRITICAL VALUES AND P VALUES OF BESSEL PROCESS DISTRIBUTIONS: COMPUTATION AND APPLICATION TO STRUCTURAL BREAK TESTS