Testing for Structural Change of Predictive Regression Model to Threshold Predictive Regression Model
From MaRDI portal
Publication:6586903
DOI10.1080/07350015.2021.2008406zbMATH Open1542.62148MaRDI QIDQ6586903
Mengya Liu, Fukang Zhu, Shiqing Ling, Zongwu Cai
Publication date: 13 August 2024
Published in: Journal of Business and Economic Statistics (Search for Journal in Brave)
Cites Work
- Instrumental variable and variable addition based inference in predictive regressions
- The maximum likelihood method for testing changes in the parameters of normal observations
- Predictability of stock returns and asset allocation under structural breaks
- Testing for threshold autoregression
- Testing for structural change in conditional models
- A perspective on recent methods on testing predictability of asset returns
- A unified test for predictability of asset returns regardless of properties of predicting variables
- Testing for parameter instability in predictive regression models
- Misspecified structural change, threshold, and Markov-switching models.
- Predictive regressions for macroeconomic data
- Testing predictive regression models with nonstationary regressors
- Testing for change points in time series models and limiting theorems for NED sequences
- Problems in mathematical analysis II. Continuity and differentiation. Transl. from the Polish, revised and augmented by the authors
- Matrix analysis for statistics
- Likelihood ratio tests for the structural change of an AR(p) model to a Threshold AR(p) model
- Tests for Parameter Instability and Structural Change With Unknown Change Point
- Tests of the Hypothesis that a Linear Regression System Obeys Two Separate Regimes
- Tests of Equality Between Sets of Coefficients in Two Linear Regressions
- Optimal Inference in Regression Models with Nearly Integrated Regressors
- ROBUST ESTIMATION AND INFERENCE FOR THRESHOLD MODELS WITH INTEGRATED REGRESSORS
- TESTING INSTABILITY IN A PREDICTIVE REGRESSION MODEL WITH NONSTATIONARY REGRESSORS
- Testing for threshold autoregression with conditional heteroscedasticity
- Estimating and Testing Linear Models with Multiple Structural Changes
- Threshold Autoregression with a Unit Root
- Regression Theory for Near-Integrated Time Series
- Inference Under Random Limit Bootstrap Measures
- Testing the Predictability of U.S. Housing Price Index Returns Based on an IVX-AR Model
- Testing for the buffered autoregressive processes
- Testing for structural change of AR model to threshold AR model
- Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis
- Robust inference for predictability in smooth transition predictive regressions
- Uniform Test for Predictive Regression With AR Errors
- Inferring the Predictability Induced by a Persistent Regressor in a Predictive Threshold Model
- Unified Tests for a Dynamic Predictive Regression
- Inferences for a Partially Varying Coefficient Model With Endogenous Regressors
- A Bootstrap Stationarity Test for Predictive Regression Invalidity
This page was built for publication: Testing for Structural Change of Predictive Regression Model to Threshold Predictive Regression Model