Testing for structural change under non‐stationary variances

DOI10.1111/ectj.12049OpenAlexW2146147182MaRDI QIDQ5091826

Ke-Li Xu

Publication date: 27 July 2022

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

Full work available at URL: https://doi.org/10.1111/ectj.12049

zbMATH Keywords

LM teststructural changerobust testsCUSUM testvolatility breaknon-monotonic power

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items

Quantifying the data-dredging bias in structural break tests, Testing for structural changes in linear regressions with time-varying variance, Detecting structural changes under nonstationary volatility, Structural change tests under heteroskedasticity: Joint estimation versus two‐steps methods, ADAPTIVE LONG MEMORY TESTING UNDER HETEROSKEDASTICITY, Inference in functional factor models with applications to yield curves, Testing Stability in Functional Event Observations with an Application to IPO Performance, Changepoint Detection in Heteroscedastic Random Coefficient Autoregressive Models, Bootstrap procedures for detecting multiple persistence shifts in heteroskedastic time series, Testing explosive bubbles with time-varying volatility, A new limit result in change point analysis