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Generalized Predictive Tests and Structural Change Analysis in Econometrics

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Author Info
Dufour, J.M.
Ghysels, E.
Hall, A.

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Abstract

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Publisher Info
Paper provided by Universite de Montreal, Departement de sciences economiques in its series Cahiers de recherche with number 9223.

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Length: 41 pages
Date of creation: 1992
Date of revision:
Handle: RePEc:mtl:montde:9223

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Keywords: ECONOMETRICS ; STATISTICS ; TESTS ; EVALUATION ; CONSUMPTION ; PRICES;

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  1. Eric Ghysels & Alain Guay, 2001. "Testing for Structural Change in the Presence of Auxiliary Models," Cahiers de recherche CREFE / CREFE Working Papers 133, CREFE, Université du Québec à Montréal. [Downloadable!]
    Other versions:
  2. René Garcia & Eric Ghysels, 1996. "Structural Change and Asset Pricing in Emerging Markets," CIRANO Working Papers 96s-34, CIRANO. [Downloadable!]
    Other versions:
  3. John M. Maheu & Stephen Gordon, 2008. "Learning, forecasting and structural breaks," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 23(5), pages 553-583. [Downloadable!]
    Other versions:
  4. Eric Ghysels & Alain Guay, 1998. "Structural Change Tests for Simulated Method of Moments," CIRANO Working Papers 98s-19, CIRANO. [Downloadable!]
    Other versions:
  5. Tommaso Mancini Griffoli, 2006. "Explaining the Euro's Effect on Trade? Interest Rates in an Augmented Gravity Equation," HEI Working Papers 10-2006, Economics Section, The Graduate Institute of International Studies. [Downloadable!]
  6. Kai Carstensen & Roberta Colavecchio, 2004. "Did the Revision of the ECB Monetary Policy Strategy Affect the Reaction Function?," Kiel Working Papers 1221, Kiel Institute for the World Economy. [Downloadable!]
  7. Tommaso Mancini-Griffoli & Laurent L. Pauwels, 2006. "Is There a Euro Effect on Trade? An Application of End-of-Sample Structural Break Tests for Panel Data," HEI Working Papers 04-2006, Economics Section, The Graduate Institute of International Studies, revised Apr 2006. [Downloadable!]
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