End-of-Sample Instability Tests
From MaRDI portal
Publication:5473001
DOI10.1111/1468-0262.00466zbMath1154.62412OpenAlexW3122363664MaRDI QIDQ5473001
Publication date: 19 June 2006
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: https://cowles.yale.edu/sites/default/files/files/pub/d13/d1369.pdf
Applications of statistics to economics (62P20) Inference from stochastic processes (62M99) Non-Markovian processes: hypothesis testing (62M07)
Related Items (27)
Counterfactual Analysis With Artificial Controls: Inference, High Dimensions, and Nonstationarity ⋮ An Exact and Robust Conformal Inference Method for Counterfactual and Synthetic Controls ⋮ Confidence sets for the date of a single break in linear time series regressions ⋮ Bootstrap refinements for QML estimators of the GARCH(1,1) parameters ⋮ Testing the normality assumption in multivariate simultaneous limited dependent variable models ⋮ Structural Break Inference Using Information Criteria in Models Estimated by Two‐Stage Least Squares ⋮ F-test for seasonal differencing with a break-point ⋮ Shrinkage estimation of common breaks in panel data models via adaptive group fused Lasso ⋮ Generalized inverses and asymptotic properties of Wald tests ⋮ Testing for explosive bubbles: a review ⋮ Testing for structural stability in the whole sample ⋮ SHRINKAGE ESTIMATION OF REGRESSION MODELS WITH MULTIPLE STRUCTURAL CHANGES ⋮ ASYMPTOTIC PROPERTIES OF THE CUSUM ESTIMATOR FOR THE TIME OF CHANGE IN LINEAR PANEL DATA MODELS ⋮ Heterogeneous structural breaks in panel data models ⋮ Statistical Inference for Average Treatment Effects Estimated by Synthetic Control Methods ⋮ Estimation and inference in unstable nonlinear least squares models ⋮ IMPROVED AND EXTENDED END-OF-SAMPLE INSTABILITY TESTS USING A FEASIBLE QUASI-GENERALIZED LEAST SQUARES PROCEDURE ⋮ The Hausman test and weak instruments ⋮ Assessing the causal effect of binary interventions from observational panel data with few treated units ⋮ Inference and prediction in a multiple-structural-break model ⋮ Semi-nonparametric estimation and misspecification testing of diffusion models ⋮ FORECASTING VOLATILITY IN THE PRESENCE OF MODEL INSTABILITY ⋮ Parameter instability in quantile regression ⋮ Consistency for least squares regression estimators with infinite variance data ⋮ Quantile regression estimates and the analysis of structural breaks ⋮ Tests for an end-of-sample bubble in financial time series ⋮ Subsampling tests of parameter hypotheses and overidentifying restrictions with possible failure of identification
This page was built for publication: End-of-Sample Instability Tests
