Approximations to thep-values of tests for a change-point under non-standard conditions

DOI10.1080/00949655.2015.1069826OpenAlexW1888368239MaRDI QIDQ5222416

Gabrielle Kelly

Publication date: 1 April 2020

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

Full work available at URL: https://doi.org/10.1080/00949655.2015.1069826

zbMATH Keywords

bootstrapsimulationlikelihood ratio testregressioncorrelated errorschange-pointLagrange multiplier testheteroskedastic errorssup-F testtime trend regressor

Mathematics Subject Classification ID

Point estimation (62F10) Bootstrap, jackknife and other resampling methods (62F40) Asymptotic properties of parametric tests (62F05)

Uses Software

• R
• strucchange

Cites Work

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• Optimal changepoint tests for normal linear regression
• A comparison of estimators for regression models with change points
• Bootstrap Tests for an Autoregressive Unit Root in the Presence of Weakly Dependent Errors
• Tests for Parameter Instability and Structural Change With Unknown Change Point
• Confidence regions and tests for a change-point in a sequence of exponential family random variables
• The likelihood ratio test for a change-point in simple linear regression
• A Bayesian Analysis of a Switching Regression Model: Known Number of Regimes
• Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
• Estimating the Number of Change Points in Exponential Families Distributions
• A multivariate generalization of the power exponential family of distributions
• Estimating and Testing Linear Models with Multiple Structural Changes
• Confidence Sets in Change-Point Problems
• Testing for a Two-Phase Multiple Regression
• The Estimation of the Parameters of a Linear Regression System Obeying Two Separate Regimes
• The impact of the bootstrap on statistical algorithms and theory
• The impact of bootstrap methods on time series analysis

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