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Predictive Tests for Structural Change with Unknown Breakpoint

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Author Info
Ghysels, E.
Guay, A.
Hall, A.

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Abstract

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Paper provided by Universite de Montreal, Departement de sciences economiques in its series Cahiers de recherche with number 9524.

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Length: 27 pages
Date of creation: 1995
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Handle: RePEc:mtl:montde:9524

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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. Christopher J. Neely & Paul A. Weller & Joshua M. Ulrich, 2007. "The adaptive markets hypothesis: evidence from the foreign exchange market," Working Papers 2006-046, Federal Reserve Bank of St. Louis. [Downloadable!]
  4. Arturo Estrella & Jeffrey C. Fuhrer, 1999. "Are "deep" parameters stable? the Lucas critique as an empirical hypothesis," Working Papers 99-4, Federal Reserve Bank of Boston. [Downloadable!]
    Other versions:
  5. Luis F. Céspedes & Marcelo Ochoa & Claudio Soto, 2005. "The New Keynesian Phillips Curve in an Emerging Market Economy: The Case of Chile," Working Papers Central Bank of Chile 355, Central Bank of Chile. [Downloadable!]
  6. F. Pérez de Gracia & J. Cuñado; J. Gómez, 2004. "Financial Liberalization and Emerging Stock Market Volatility," Computing in Economics and Finance 2004 124, Society for Computational Economics. [Downloadable!]
  7. Juncal Cuñado & Javier Gómez Biscarri & Fernando Perez de Gracia, 2006. "Changes in the Dynamic Behavior of Emerging Market Volatility: Revisiting the Effects of Financial L," Faculty Working Papers 01/06, School of Economics and Business Administration, University of Navarra. [Downloadable!]
  8. Eric Guysels & Alain Guay, 1998. "Structural Change Tests for Simulated Method of Moments," Cahiers de recherche CREFE / CREFE Working Papers 61, CREFE, Université du Québec à Montréal. [Downloadable!]
    Other versions:
  9. Albert N. Link & David Paton & Donald S. Siegel, 2003. "An Econometric Analysis of Trends in Research Joint Venture Activity," Rensselaer Working Papers in Economics 0305, Rensselaer Polytechnic Institute, Department of Economics. [Downloadable!]
    Other versions:
  10. Alain Guay & Olivier Scaillet, 1999. "Indirect Inference, Nuisance Parameter and Threshold Moving Average," Cahiers de recherche CREFE / CREFE Working Papers 95, CREFE, Université du Québec à Montréal. [Downloadable!]
  11. Pieter J. van der Sluis, 1997. "Post-Sample Prediction Tests for the Efficient Method of Moments," Tinbergen Institute Discussion Papers 97-054/4, Tinbergen Institute. [Downloadable!]
  12. Robert Rich & Charles Steindel, 2007. "A comparison of measures of core inflation," Economic Policy Review, Federal Reserve Bank of New York, issue Dec, pages 19-38. [Downloadable!]
  13. Mouna Cherkaoui & Eric Ghysels, 1999. "Emerging Markets and Trading Costs," CIRANO Working Papers 99s-04, CIRANO. [Downloadable!]
  14. Arturo Estrella & Anthony P. Rodrigues & Sebastian Schich, 2000. "How stable is the predictive power of the yield curve? evidence from Germany and the United States," Staff Reports 113, Federal Reserve Bank of New York. [Downloadable!]
    Other versions:
  15. John M Maheu & Stephen Gordon, 2007. "Learning, Forecasting and Structural Breaks," Working Papers tecipa-284, University of Toronto, Department of Economics. [Downloadable!]
    Other versions:
  16. Robert Rich & Charles Steindel, 2005. "A review of core inflation and an evaluation of its measures," Staff Reports 236, Federal Reserve Bank of New York. [Downloadable!]
  17. Arturo Estrella & Anthony P. Rodrigues, 2005. "One-sided test for an unknown breakpoint: theory, computation, and application to monetary theory," Staff Reports 232, Federal Reserve Bank of New York. [Downloadable!]
  18. Pieter J. van der Sluis, 1998. "Structural Stability Tests with Unknown Breakpoint for the Efficient Method of Moments with Application to Stochastic Volatility Models," Tinbergen Institute Discussion Papers 98-055/4, Tinbergen Institute. [Downloadable!]
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