Testing for structural breaks in the presence of data perturbations: impacts and wavelet-based improvements

DOI10.1080/00949655.2014.979824OpenAlexW2003872470MaRDI QIDQ5222299

Yushu Li, Simon Reese

Publication date: 1 April 2020

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: http://project.nek.lu.se/publications/workpap/papers/WP13_36.pdf

zbMATH Keywords

wavelet transformmeasurement errorstructural breaksadditive outlierempirical Bayes thresholding

Mathematics Subject Classification ID

Statistics (62-XX)

Uses Software

• EBayesThresh
• wmtsa

Cites Work

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• Assessing the relative power of structural break tests using a framework based on the approximate Bahadur slope
• Inference regarding multiple structural changes in linear models with endogenous regressors
• Needles and straw in haystacks: Empirical Bayes estimates of possibly sparse sequences
• Empirical Bayes selection of wavelet thresholds
• A NOTE ON ESTIMATING AND TESTING FOR MULTIPLE STRUCTURAL CHANGES IN MODELS WITH ENDOGENOUS REGRESSORS VIA 2SLS
• Adapting to Unknown Smoothness via Wavelet Shrinkage
• Tests of the Hypothesis that a Linear Regression System Obeys Two Separate Regimes
• Multiresolution Approximations and Wavelet Orthonormal Bases of L 2 (R)
• Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
• Ideal spatial adaptation by wavelet shrinkage
• Estimating and Testing Linear Models with Multiple Structural Changes
• The contribution of wavelets to the analysis of economic and financial data
• The generalized fluctuation test: A unifying view

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