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The finite-sample properties of bootstrap tests in multiple structural change models

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  • Jamel JOUINI

    ()
    (FSEGN and LEGI-EPT, Université 7 Novembre de Carthage, Tunisia)

  • Mohamed Boutahar

    ()
    (Faculté des Sciences de Luminy, Université de la Méditerranée, France)

Abstract

We propose bootstrap methods to approximate the distributions of test statistics for multiple structural breaks. The major advantage of these methods is that they allow freeing us from the constraints imposed by the asymptotic theory on parameters of the model. We also find that the asymptotic critical values lead to serious size distortions while, on the contrary, the bootstrap procedure leads to remarkably reliable tests in dynamic models.

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File URL: http://www.accessecon.com/Pubs/EB/2010/Volume30/EB-10-V30-I1-P5.pdf
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Bibliographic Info

Article provided by AccessEcon in its journal Economics Bulletin.

Volume (Year): 30 (2010)
Issue (Month): 1 ()
Pages: 55-66

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Handle: RePEc:ebl:ecbull:eb-09-00447

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Keywords: Structural change; bootstrap tests; size properties;

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  1. Russell Davidson & James G. MacKinnon, 2001. "Bootstrap Tests: How Many Bootstraps?," Working Papers 1036, Queen's University, Department of Economics.
  2. James G. MacKinnon, 2002. "Bootstrap inference in econometrics," Canadian Journal of Economics, Canadian Economics Association, vol. 35(4), pages 615-645, November.
  3. Jushan Bai & Pierre Perron, 1998. "Estimating and Testing Linear Models with Multiple Structural Changes," Econometrica, Econometric Society, vol. 66(1), pages 47-78, January.
  4. Francis X. Diebold & Celia Chen, 1993. "Testing structural stability with endogenous break point: a size comparison of analytic and bootstrap procedures," Working Papers 93-11, Federal Reserve Bank of Philadelphia.
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