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Testing for Structural Change in Conditional Models

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Cited by:

  1. Fu, Zhonghao & Hong, Yongmiao & Su, Liangjun & Wang, Xia, 2023. "Specification tests for time-varying coefficient models," Journal of Econometrics, Elsevier, vol. 235(2), pages 720-744.
  2. Matei Demetrescu & Christoph Hanck & Robinson Kruse‐Becher, 2022. "Robust inference under time‐varying volatility: A real‐time evaluation of professional forecasters," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(5), pages 1010-1030, August.
  3. Hansen, Bruce E. & Seo, Byeongseon, 2002. "Testing for two-regime threshold cointegration in vector error-correction models," Journal of Econometrics, Elsevier, vol. 110(2), pages 293-318, October.
  4. J. Hoyo & G. Llorente & C. Rivero, 2019. "Testing for Constant Parameters in Nonlinear Models: A Quick Procedure with an Empirical Illustration," Computational Economics, Springer;Society for Computational Economics, vol. 54(1), pages 113-137, June.
  5. Rossi, Barbara, 2013. "Advances in Forecasting under Instability," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 1203-1324, Elsevier.
  6. Fuertes, Ana-Maria, 2008. "Sieve bootstrap t-tests on long-run average parameters," Computational Statistics & Data Analysis, Elsevier, vol. 52(7), pages 3354-3370, March.
  7. Dufour, Jean-Marie & Khalaf, Lynda & Bernard, Jean-Thomas & Genest, Ian, 2004. "Simulation-based finite-sample tests for heteroskedasticity and ARCH effects," Journal of Econometrics, Elsevier, vol. 122(2), pages 317-347, October.
  8. Giuseppe Cavaliere & A. M. Robert Taylor, 2009. "Bootstrap M Unit Root Tests," Econometric Reviews, Taylor & Francis Journals, vol. 28(5), pages 393-421.
  9. Boldea, Otilia & Hall, Alastair R., 2013. "Estimation and inference in unstable nonlinear least squares models," Journal of Econometrics, Elsevier, vol. 172(1), pages 158-167.
  10. Yin, Anwen, 2015. "Forecasting and model averaging with structural breaks," ISU General Staff Papers 201501010800005727, Iowa State University, Department of Economics.
  11. Akhter Faroque & William Veloce & Jean-Francois Lamarche, 2012. "Have structural changes eliminated the out-of-sample ability of financial variables to forecast real activity after the mid-1980s? Evidence from the Canadian economy," Applied Economics, Taylor & Francis Journals, vol. 44(30), pages 3965-3985, October.
  12. Alaa Abi Morshed & Elena Andreou & Otilia Boldea, 2018. "Structural Break Tests Robust to Regression Misspecification," Econometrics, MDPI, vol. 6(2), pages 1-39, May.
  13. Nicolas Gendron-Carrier & Marco Gonzalez-Navarro & Stefano Polloni & Matthew A. Turner, 2022. "Subways and Urban Air Pollution," American Economic Journal: Applied Economics, American Economic Association, vol. 14(1), pages 164-196, January.
  14. Kristyna Ters & Jörg Urban, 2018. "Estimating unknown arbitrage costs: evidence from a three-regime threshold vector error correction model," BIS Working Papers 689, Bank for International Settlements.
  15. Giuseppe Cavaliere & Iliyan Georgiev, 2020. "Inference Under Random Limit Bootstrap Measures," Econometrica, Econometric Society, vol. 88(6), pages 2547-2574, November.
  16. Bernard, Jean-Thomas & Idoudi, Nadhem & Khalaf, Lynda & Yelou, Clement, 2007. "Finite sample multivariate structural change tests with application to energy demand models," Journal of Econometrics, Elsevier, vol. 141(2), pages 1219-1244, December.
  17. Nam Gang Lee & Byoung Hoon Seok, 2019. "A Structural Change in the Trend and Cycle in Korea," Working Papers 2019-26, Economic Research Institute, Bank of Korea.
  18. Baetje, Fabian & Menkhoff, Lukas, 2016. "Equity premium prediction: Are economic and technical indicators unstable?," International Journal of Forecasting, Elsevier, vol. 32(4), pages 1193-1207.
  19. Juhl, Ted & Xiao, Zhijie, 2009. "Tests for changing mean with monotonic power," Journal of Econometrics, Elsevier, vol. 148(1), pages 14-24, January.
  20. Goodness C. Aye & Rangan Gupta & Mampho P. Modise, 2012. "Structural Breaks and Predictive Regressions Models of South African Equity Premium," Working Papers 201209, University of Pretoria, Department of Economics.
  21. Slimani, Slah & Bakari, Sayef & Othmani, Abdelhafidh, 2015. "Croissance et Soutenabilité de la Dette Extérieure Tunisienne pour la Période 1970-2012 : Une Analyse Dynamique [Growth and Sustainability of Tunisian External Debt for the Period 1970-2012: A Dyna," MPRA Paper 80954, University Library of Munich, Germany.
  22. Christis Katsouris, 2023. "Structural Break Detection in Quantile Predictive Regression Models with Persistent Covariates," Papers 2302.05193, arXiv.org.
  23. Mohitosh Kejriwal & Xuewen Yu & Pierre Perron, 2020. "Bootstrap procedures for detecting multiple persistence shifts in heteroskedastic time series," Journal of Time Series Analysis, Wiley Blackwell, vol. 41(5), pages 676-690, September.
  24. Hildegart Ahumada & Magdalena Cornejo, 2015. "Explaining commodity prices by a cointegrated time series-cross section model," Empirical Economics, Springer, vol. 48(4), pages 1667-1690, June.
  25. Guney, Selin, 2015. "An evaluation of price forecasts of the cattle market under structural changes," 2015 AAEA & WAEA Joint Annual Meeting, July 26-28, San Francisco, California 205109, Agricultural and Applied Economics Association.
  26. Bruce E. Hansen, 2000. "Sample Splitting and Threshold Estimation," Econometrica, Econometric Society, vol. 68(3), pages 575-604, May.
  27. Emanuela Ciapanna & Marco Taboga, 2019. "Bayesian Analysis of Coefficient Instability in Dynamic Regressions," Econometrics, MDPI, vol. 7(3), pages 1-32, June.
  28. Goncalves, Silvia & Kilian, Lutz, 2004. "Bootstrapping autoregressions with conditional heteroskedasticity of unknown form," Journal of Econometrics, Elsevier, vol. 123(1), pages 89-120, November.
  29. Pierre Perron & Yohei Yamamoto, 2016. "On the Usefulness or Lack Thereof of Optimality Criteria for Structural Change Tests," Econometric Reviews, Taylor & Francis Journals, vol. 35(5), pages 782-844, May.
  30. Somayeh Mardaneh, 2012. "How Do Oil Shocks A¤ect the Structural Stability of Hybrid New Keynesian Phillips Curve?," Discussion Papers in Economics 12/20, Division of Economics, School of Business, University of Leicester.
  31. Gerard O'Reilly & Karl Whelan, 2005. "Has Euro-Area Inflation Persistence Changed Over Time?," The Review of Economics and Statistics, MIT Press, vol. 87(4), pages 709-720, November.
  32. Asafo-Agyei, George & Kodongo, Odongo, 2022. "Foreign direct investment and economic growth in Sub-Saharan Africa: A nonlinear analysis," Economic Systems, Elsevier, vol. 46(4).
  33. Kang, Wensheng & Ratti, Ronald A. & Vespignani, Joaquin L., 2017. "Oil price shocks and policy uncertainty: New evidence on the effects of US and non-US oil production," Energy Economics, Elsevier, vol. 66(C), pages 536-546.
  34. Ters, Kristyna & Urban, Jörg, 2020. "Estimating unknown arbitrage costs: Evidence from a 3-regime threshold vector error correction model," Journal of Financial Markets, Elsevier, vol. 47(C).
  35. Narayan, Seema & Smyth, Russell, 2015. "The financial econometrics of price discovery and predictability," International Review of Financial Analysis, Elsevier, vol. 42(C), pages 380-393.
  36. Jesús Rodríguez López & José Luis Torres Chacón, 2007. "Following the Yellow Brick Road to the Euro?: Czech Republic, Hungary, and Poland," Eastern European Economics, Taylor & Francis Journals, vol. 45(6), pages 46-79, November.
  37. Gallego, Francisco & Montero, Juan-Pablo & Salas, Christian, 2013. "The effect of transport policies on car use: Evidence from Latin American cities," Journal of Public Economics, Elsevier, vol. 107(C), pages 47-62.
  38. Andersen, Torben G. & Varneskov, Rasmus T., 2022. "Testing for parameter instability and structural change in persistent predictive regressions," Journal of Econometrics, Elsevier, vol. 231(2), pages 361-386.
  39. Raffaella Giacomini & Barbara Rossi, 2009. "Detecting and Predicting Forecast Breakdowns," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 76(2), pages 669-705.
  40. Duarte, A. & Venetis, I. & Payá, I., 2004. "Curva de rendimientos y crecimiento de la producción real en la UEM: eficiencia y estabilidad predictiva./Yield Curve and Real Output Growth in the EMU: Efficiency and Predictive Stability," Estudios de Economia Aplicada, Estudios de Economia Aplicada, vol. 22, pages 1-21, Abril.
  41. M Sensier & D van Dijk, 2001. "Short-term Volatility Versus Long-term Growth: Evidence in US Macroeconomic Time Series," Economics Discussion Paper Series 0103, Economics, The University of Manchester.
  42. Giorgio Canarella & Stephen M. Miller, 2017. "Did Okun’s law die after the Great Recession?," Business Economics, Palgrave Macmillan;National Association for Business Economics, vol. 52(4), pages 216-226, October.
  43. Carlos Madeira & João Madeira, 2019. "The Effect of FOMC Votes on Financial Markets," The Review of Economics and Statistics, MIT Press, vol. 101(5), pages 921-932, December.
  44. Cavaliere, Giuseppe & Nielsen, Morten Ørregaard & Taylor, A.M. Robert, 2017. "Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form," Journal of Econometrics, Elsevier, vol. 198(1), pages 165-188.
  45. Chien-Hung Chen & Nicholas Lee & Fu-Min Chang & Li-Peng Lan, 2021. "Are global gold futures returns volatilities and trading activities threshold cointegrated?," Journal of Financial Economic Policy, Emerald Group Publishing Limited, vol. 13(5), pages 525-538, May.
  46. Su, Liangjun & Jin, Sainan & Zhang, Yonghui, 2015. "Specification test for panel data models with interactive fixed effects," Journal of Econometrics, Elsevier, vol. 186(1), pages 222-244.
  47. Bruce E. Hansen, 2001. "The New Econometrics of Structural Change: Dating Breaks in U.S. Labour Productivity," Journal of Economic Perspectives, American Economic Association, vol. 15(4), pages 117-128, Fall.
  48. Fry-McKibbin, Renée A. & Wanaguru, Sumila, 2013. "Currency intervention: A case study of an emerging market," Journal of International Money and Finance, Elsevier, vol. 37(C), pages 25-47.
  49. Cavaliere, Giuseppe & Xu, Fang, 2014. "Testing for unit roots in bounded time series," Journal of Econometrics, Elsevier, vol. 178(P2), pages 259-272.
  50. Yélou, Clément & Larue, Bruno & Tran, Kien C., 2010. "Threshold effects in panel data stochastic frontier models of dairy production in Canada," Economic Modelling, Elsevier, vol. 27(3), pages 641-647, May.
  51. Victor Bystrov, 2014. "A factor-augmented model of markup on mortgage loans in Poland," Bank i Kredyt, Narodowy Bank Polski, vol. 45(6), pages 491-512.
  52. Patacchini, Eleonora & Rainone, Edoardo & Zenou, Yves, 2017. "Heterogeneous peer effects in education," Journal of Economic Behavior & Organization, Elsevier, vol. 134(C), pages 190-227.
  53. Thomas A. Lubik & Paolo Surico, 2010. "The Lucas critique and the stability of empirical models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(1), pages 177-194.
  54. Chen, Liang & Dolado, Juan J. & Gonzalo, Jesús, 2014. "Detecting big structural breaks in large factor models," Journal of Econometrics, Elsevier, vol. 180(1), pages 30-48.
  55. Danko Tarabar & Joshua C. Hall, 2015. "The Seventeenth Amendment, Senate ideology and the growth of government," Applied Economics Letters, Taylor & Francis Journals, vol. 22(8), pages 637-640, May.
  56. Kentaka Aruga & Shunsuke Managi, 2013. "Linkages among the US energy futures markets," International Journal of Global Energy Issues, Inderscience Enterprises Ltd, vol. 36(1), pages 13-26.
  57. O'Reilly, Gerard & Whelan, Karl, 2005. "Testing Parameter Stability: A Wild Bootstrap Approach," Research Technical Papers 8/RT/05, Central Bank of Ireland.
  58. Alessandro Casini & Pierre Perron, 2018. "Structural Breaks in Time Series," Papers 1805.03807, arXiv.org.
  59. Kyriakos Drivas & Claire Economidou & Elena Ketteni & Konstantina Kottaridi, 2021. "Firms’ knowledge investment and market responses," Empirical Economics, Springer, vol. 61(5), pages 2363-2394, November.
  60. Pierre Perron & Yohei Yamamoto & Jing Zhou, 2020. "Testing jointly for structural changes in the error variance and coefficients of a linear regression model," Quantitative Economics, Econometric Society, vol. 11(3), pages 1019-1057, July.
  61. Yunus Aksoy & Henrique S. Basso, 2014. "Securitization and Asset Prices," Birkbeck Working Papers in Economics and Finance 1411, Birkbeck, Department of Economics, Mathematics & Statistics.
  62. repec:onb:oenbwp:y::i:50:b:1 is not listed on IDEAS
  63. Eichengreen, Barry & Mody, Ashoka & Nedeljkovic, Milan & Sarno, Lucio, 2012. "How the Subprime Crisis went global: Evidence from bank credit default swap spreads," Journal of International Money and Finance, Elsevier, vol. 31(5), pages 1299-1318.
  64. Senanu Kwasi Klutse & Judit Sági & Gábor Dávid Kiss, 2022. "Exchange Rate Crisis among Inflation Targeting Countries in Sub-Saharan Africa," Risks, MDPI, vol. 10(5), pages 1-13, May.
  65. Travaglini, Guido, 2007. "The U.S. Dynamic Taylor Rule With Multiple Breaks, 1984-2001," MPRA Paper 3419, University Library of Munich, Germany, revised 15 Jun 2007.
  66. Zhang, Dayong, 2008. "Oil shock and economic growth in Japan: A nonlinear approach," Energy Economics, Elsevier, vol. 30(5), pages 2374-2390, September.
  67. Kejriwal, Mohitosh & Perron, Pierre, 2010. "Testing for Multiple Structural Changes in Cointegrated Regression Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 28(4), pages 503-522.
  68. Anthony M. Diercks & William Waller, 2017. "Taxes and the Fed : Theory and Evidence from Equities," Finance and Economics Discussion Series 2017-104, Board of Governors of the Federal Reserve System (U.S.).
  69. Karen Watkins & Dick van Dijk & Jaap Spronk, 2004. "Macroeconomic Crisis and Individual Firm Performance: The Mexican Experience," Tinbergen Institute Discussion Papers 04-057/2, Tinbergen Institute.
  70. Barbara Rossi, 2019. "Forecasting in the Presence of Instabilities: How Do We Know Whether Models Predict Well and How to Improve Them," Working Papers 1162, Barcelona School of Economics.
  71. Hasan, Iftekhar & Hassan, Gazi & Kim, Suk-Joong & Wu, Eliza, 2021. "The impact of risk-based capital rules for international lending on income inequality: Global evidence," Economic Modelling, Elsevier, vol. 98(C), pages 136-153.
  72. Gyoshev, Stanley & Kaplan, Todd R. & Szewczyk, Samuel & Tsetsekos, George, 2012. "Why Do Financial Intermediaries Buy Put Options from Companies?," MPRA Paper 43149, University Library of Munich, Germany.
  73. Aruga, Kentaka, 2011. "Linkages among the non-genetically modified soybean, conventional soybean, and corn futures markets in the Tokyo Grain Exchange," MPRA Paper 36101, University Library of Munich, Germany.
  74. Georgiev, Iliyan & Harvey, David I. & Leybourne, Stephen J. & Taylor, A.M. Robert, 2018. "Testing for parameter instability in predictive regression models," Journal of Econometrics, Elsevier, vol. 204(1), pages 101-118.
  75. Pierre Perron & Yohei Yamamoto, 2022. "Structural change tests under heteroskedasticity: Joint estimation versus two‐steps methods," Journal of Time Series Analysis, Wiley Blackwell, vol. 43(3), pages 389-411, May.
  76. Nauro F. Campos & Menelaos G. Karanasos & Michail Karoglou & Panagiotis Koutroumpis & Constantin Zopounidis & Apostolos Christopoulos, 2022. "Apocalypse now, apocalypse when? Economic growth and structural breaks in Argentina (1886–2003)," Economics of Transition and Institutional Change, John Wiley & Sons, vol. 30(1), pages 3-32, January.
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  78. Boldea, Otilia & Cornea-Madeira, Adriana & Hall, Alastair R., 2019. "Bootstrapping structural change tests," Journal of Econometrics, Elsevier, vol. 213(2), pages 359-397.
  79. Bakhodir A Ergashev, 2004. "Sequential Detection of US Business Cycle Turning Points: Performances of Shiryayev-Roberts, CUSUM and EWMA Procedures," Econometrics 0402001, University Library of Munich, Germany, revised 16 Mar 2004.
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  81. Todd E. Clark, 2006. "Disaggregate evidence on the persistence of consumer price inflation," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(5), pages 563-587, July.
  82. Rebeca Jiménez-Rodríguez, 2004. "Oil Price Shocks: Testing for Non-linearity," CSEF Working Papers 115, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
  83. Dong Jin Lee, 2021. "Bootstrap tests for structural breaks when the regressors and the serially correlated error term are unstable," Bulletin of Economic Research, Wiley Blackwell, vol. 73(2), pages 212-229, April.
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  85. Matteo Mogliani & Giovanni Urga & Carlos Winograd, 2009. "Monetary disorder and financial regimes - The demand for money in Argentina, 1900-2006," PSE Working Papers halshs-00575107, HAL.
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  89. Hsu, Ching-Chi & Chien, FengSheng, 2022. "The study of co-movement risk in the context of the Belt and Road Initiative," International Review of Economics & Finance, Elsevier, vol. 80(C), pages 1130-1152.
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  124. Edilean Kleber da Silva Bejarano Aragón, 2021. "Specification errors, nonlinearities, and structural breaks in the Central Bank of Brazil’s reaction function," Empirical Economics, Springer, vol. 60(3), pages 1221-1243, March.
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  126. David G. McMillan, 2017. "Stock return predictability: the role of inflation and threshold dynamics," International Review of Applied Economics, Taylor & Francis Journals, vol. 31(3), pages 357-375, May.
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  128. Richard Bluhm & Denis de Crombrugghe & Adam Szirmai, 0. "Do Weak Institutions Prolong Crises? On the Identification, Characteristics, and Duration of Declines during Economic Slumps," The World Bank Economic Review, World Bank, vol. 34(3), pages 810-832.
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  131. Christina V. Atanasova & Jianhua Gang, 2008. "The Decline In The Volatility Of The Business Cycles In The Uk," Manchester School, University of Manchester, vol. 76(s1), pages 14-36, September.
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