On the Usefulness or Lack Thereof of Optimality Criteria for Structural Change Tests

DOI10.1080/07474938.2014.977621zbMath1491.62123OpenAlexW1963788916MaRDI QIDQ5864375

Pierre Perron, Yohei Yamamoto

Publication date: 7 June 2022

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: http://www.bu.edu/econ/files/2014/05/Perron-On-the-Usefulness-of-Lack-Thereof-June-2013.pdf

zbMATH Keywords

hypothesis testingparameter variationsstructural changelocal asymptotics

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03) Asymptotic properties of parametric tests (62F05)

Related Items (8)

Structural change tests under heteroskedasticity: Joint estimation versus two‐steps methods ⋮ A CROSS-SECTIONAL METHOD FOR RIGHT-TAILED PANIC TESTS UNDER A MODERATELY LOCAL TO UNITY FRAMEWORK ⋮ Testing for shifts in mean with monotonic power against multiple structural changes ⋮ Multiple structural breaks in cointegrating regressions: a model selection approach ⋮ Testing for common breaks in a multiple equations system ⋮ Testing for parameter constancy in the time series direction in panel data models ⋮ A modified confidence set for the structural break date in linear regression models ⋮ A comparison of alternative methods to construct confidence intervals for the estimate of a break date in linear regression models

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