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Exact tests for structural change in first-order dynamic models

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  • Dufour, Jean-Marie
  • Kiviet, Jan F.

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 70 (1996)
Issue (Month): 1 (January)
Pages: 39-68

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Handle: RePEc:eee:econom:v:70:y:1996:i:1:p:39-68

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Web page: http://www.elsevier.com/locate/jeconom

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References

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  1. Jean-Marie Dufour & Jan F. Kiviet, 1998. "Exact Inference Methods for First-Order Autoregressive Distributed Lag Models," Econometrica, Econometric Society, vol. 66(1), pages 79-104, January.
  2. Dufour, Jean-Marie, 1990. "Exact Tests and Confidence Sets in Linear Regressions with Autocorrelated Errors," Econometrica, Econometric Society, vol. 58(2), pages 475-94, March.
  3. Kiviet, Jan F & Phillips, Garry D A, 1992. "Exact Similar Tests for Unit Roots and Cointegration," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 54(3), pages 349-67, August.
  4. Dufour, J.M. & Ghysels, E. & Hall, A., 1992. "Generalized Predictive Tests and Structural Change Analysis in Econometrics," Cahiers de recherche 9223, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  5. Dufour, Jean-Marie, 1980. "Dummy variables and predictive tests for structural change," Economics Letters, Elsevier, vol. 6(3), pages 241-247.
  6. Dufour, Jean-Marie & King, Maxwell L., 1991. "Optimal invariant tests for the autocorrelation coefficient in linear regressions with stationary or nonstationary AR(1) errors," Journal of Econometrics, Elsevier, vol. 47(1), pages 115-143, January.
  7. Nankervis, J.C. & Savin, N.E., 1987. "Finite Sample Distributions of t and F Statistics in an AR(1) Model with Anexogenous Variable," Econometric Theory, Cambridge University Press, vol. 3(03), pages 387-408, June.
  8. Dufour, J.-M., 1986. "Nonlinear hypotheses, inequality restrictions and non-nested hypotheses: Exact simultaneous tests in linear regressions," CORE Discussion Papers 1986016, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  9. Dufour, Jean-Marie, 1982. "Recursive stability analysis of linear regression relationships: An exploratory methodology," Journal of Econometrics, Elsevier, vol. 19(1), pages 31-76, May.
  10. Dufour, Jean-Marie & Dagenais, Marcel G., 1985. "Durbin-Watson tests for serial correlation in regressions with missing observations," Journal of Econometrics, Elsevier, vol. 27(3), pages 371-381, March.
  11. Kiviet, Jan F. & Phillips, Garry D.A., 1993. "Alternative Bias Approximations in Regressions with a Lagged-Dependent Variable," Econometric Theory, Cambridge University Press, vol. 9(01), pages 62-80, January.
  12. Theil, Henri & Shonkwiler, J. S., 1986. "Monte Carlo tests of autocorrelation," Economics Letters, Elsevier, vol. 20(2), pages 157-160.
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