Advanced Search
MyIDEAS: Login

Efficient Tests for General Persistent Time Variation in Regression Coefficients -super-1

Contents:

Author Info

  • Graham Elliott
  • Ulrich K. M�ller
Registered author(s):

    Abstract

    There are a large number of tests for instability or breaks in coefficients in regression models designed for different possible departures from the stable model. We make two contributions to this literature. First, we consider a large class of persistent breaking processes that lead to asymptotically equivalent efficient tests. Our class allows for many or relatively few breaks, clustered breaks, regularly occurring breaks, or smooth transitions to changes in the regression coefficients. Thus, asymptotically nothing is gained by knowing the exact breaking process of the class. Second, we provide a test statistic that is simple to compute, avoids any need for searching over high dimensions when there are many breaks, is valid for a wide range of data-generating processes and has good power and size properties even in heteroscedastic models. Copyright 2006, Wiley-Blackwell.

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL: http://hdl.handle.net/10.1111/j.1467-937X.2006.00402.x
    Download Restriction: Access to full text is restricted to subscribers.

    As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

    Bibliographic Info

    Article provided by Oxford University Press in its journal The Review of Economic Studies.

    Volume (Year): 73 (2006)
    Issue (Month): 4 ()
    Pages: 907-940

    as in new window
    Handle: RePEc:oup:restud:v:73:y:2006:i:4:p:907-940

    Contact details of provider:

    Related research

    Keywords:

    References

    No references listed on IDEAS
    You can help add them by filling out this form.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as in new window

    Cited by:
    1. Linda S. Goldberg & Michael W. Klein, 2007. "Establishing Credibility: Evolving Perceptions of the European Central Bank," The Institute for International Integration Studies Discussion Paper Series iiisdp194, IIIS.
    2. Li, Hong, 2008. "Estimation and testing of Euler equation models with time-varying reduced-form coefficients," Journal of Econometrics, Elsevier, vol. 142(1), pages 425-448, January.
    3. Elliott, Graham & Müller, Ulrich K., 2014. "Pre and post break parameter inference," Journal of Econometrics, Elsevier, vol. 180(2), pages 141-157.
    4. Rubin, Amir & Smith, Daniel R., 2011. "Comparing different explanations of the volatility trend," Journal of Banking & Finance, Elsevier, vol. 35(6), pages 1581-1597, June.
    5. Pierre Perron & Yohei Yamamoto, 2012. "On the Usefulness or Lack Thereof of Optimality Criteria for Structural Change Tests," Global COE Hi-Stat Discussion Paper Series gd12-258, Institute of Economic Research, Hitotsubashi University.
    6. Fabio Busetti, 2012. "On detecting end-of-sample instabilities," Temi di discussione (Economic working papers) 881, Bank of Italy, Economic Research and International Relations Area.
    7. Ted Juhl & Zhijie Xiao, 2008. "Tests For Changing Mean With Monotonic Power," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 200809, University of Kansas, Department of Economics, revised Sep 2008.
    8. Giorgio Canarella & Stephen M. Miller & Stephen K. Pollard, 2013. "Unemployment Rate Hysteresis and the Great Recession: Exploring the Metropolitan Evidence," Working papers 2013-19, University of Connecticut, Department of Economics.
    9. Christian Grisse & Thomas Nitschka, 2013. "On financial risk and the safe haven characteristics of Swiss franc exchange rates," Working Papers 2013-04, Swiss National Bank.
    10. Berger, David & Chaboud, Alain & Hjalmarsson, Erik, 2009. "What drives volatility persistence in the foreign exchange market?," Journal of Financial Economics, Elsevier, vol. 94(2), pages 192-213, November.
    11. Schrimpf, Andreas & Wang, Qingwei, 2010. "A reappraisal of the leading indicator properties of the yield curve under structural instability," International Journal of Forecasting, Elsevier, vol. 26(4), pages 836-857, October.
    12. Ott, Herve, 2012. "Which factors drive which volatility in the grain sector?," 123rd Seminar, February 23-24, 2012, Dublin, Ireland 122486, European Association of Agricultural Economists.
    13. Balaguer, Jacint, 2011. "Cross-border integration in the European electricity market. Evidence from the pricing behavior of Norwegian and Swiss exporters," Energy Policy, Elsevier, vol. 39(9), pages 4703-4712, September.
    14. Elliott, Graham & Muller, Ulrich K., 2007. "Confidence sets for the date of a single break in linear time series regressions," Journal of Econometrics, Elsevier, vol. 141(2), pages 1196-1218, December.
    15. Bussière, Matthieu & Peltonen, Tuomas A., 2008. "Exchange rate pass-through in the global economy: the role of emerging market economies," Working Paper Series 0951, European Central Bank.
    16. Pettenuzzo, Davide & Timmermann, Allan, 2011. "Predictability of stock returns and asset allocation under structural breaks," Journal of Econometrics, Elsevier, vol. 164(1), pages 60-78, September.

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:oup:restud:v:73:y:2006:i:4:p:907-940. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Oxford University Press) or (Christopher F. Baum).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.