The finite-sample properties of bootstrap tests in multiple structural change models
AbstractWe 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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Bibliographic InfoArticle provided by AccessEcon in its journal Economics Bulletin.
Volume (Year): 30 (2010)
Issue (Month): 1 ()
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Structural change; bootstrap tests; size properties;
Find related papers by JEL classification:
- C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
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- Russell Davidson & James G. MacKinnon, 2001.
"Bootstrap Tests: How Many Bootstraps?,"
1036, Queen's University, Department of Economics.
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Econometric Society, vol. 66(1), pages 47-78, January.
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- Perron, P. & Bai, J., 1995. "Estimating and Testing Linear Models with Multiple Structural Changes," Cahiers de recherche 9552, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Francis X. Diebold & Celia Chen, 1993.
"Testing structural stability with endogenous break point: a size comparison of analytic and bootstrap procedures,"
93-11, Federal Reserve Bank of Philadelphia.
- Diebold, Francis X. & Chen, Celia, 1996. "Testing structural stability with endogenous breakpoint A size comparison of analytic and bootstrap procedures," Journal of Econometrics, Elsevier, vol. 70(1), pages 221-241, January.
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