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Finite sample multivariate structural change tests with application to energy demand models

  • Bernard, Jean-Thomas
  • Idoudi, Nadhem
  • Khalaf, Lynda
  • Yelou, Clement

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File URL: http://www.sciencedirect.com/science/article/pii/S0304-4076(07)00041-3
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Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 141 (2007)
Issue (Month): 2 (December)
Pages: 1219-1244

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Handle: RePEc:eee:econom:v:141:y:2007:i:2:p:1219-1244
Contact details of provider: Web page: http://www.elsevier.com/locate/jeconom

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  1. Dufour, Jean-Marie, 2006. "Monte Carlo tests with nuisance parameters: A general approach to finite-sample inference and nonstandard asymptotics," Journal of Econometrics, Elsevier, vol. 133(2), pages 443-477, August.
  2. Lawrence J. Christiano, 1988. "Searching For a Break in GNP," NBER Working Papers 2695, National Bureau of Economic Research, Inc.
  3. Cantrell, R Stephen & Burrows, Peter M & Vuong, Quang H, 1991. "Interpretation and Use of Generalized Chow Tests," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 32(3), pages 725-41, August.
  4. Geert Bekaert & Campbell R. Harvey & Robin L. Lumsdaine, 1998. "Dating the Integration of World Equity Markets," NBER Working Papers 6724, National Bureau of Economic Research, Inc.
  5. BEAULIEU, Marie-Claude & DUFOUR, Jean-Marie & KHALAF, Lynda, 2005. "Exact Multivariate Tests of Asset Pricing Models with Stable Asymmetric Distributions," Cahiers de recherche 04-2005, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  6. Phoebus J. Dhrymes & E. Philip Howrey & Saul H. Hymans & Jan Kmenta & Edward E. Leamer & Richard E. Quandt & James B. Ramsey & Harold T. Shapiro & Victor Zarnowitz, 1972. "Criteria for Evaluation of Econometric Models," NBER Chapters, in: Annals of Economic and Social Measurement, Volume 1, number 3, pages 291-324 National Bureau of Economic Research, Inc.
  7. Dufour, Jean-Marie & Kiviet, Jan F., 1996. "Exact tests for structural change in first-order dynamic models," Journal of Econometrics, Elsevier, vol. 70(1), pages 39-68, January.
  8. Bruce E. Hansen, 1998. "Testing for Structural Change in Conditional Models," Boston College Working Papers in Economics 310., Boston College Department of Economics.
  9. Kenneth Stewart, 1997. "Exact testing in multivariate regression," Econometric Reviews, Taylor & Francis Journals, vol. 16(3), pages 321-352.
  10. Dufour, J.M. & Khalaf, L., 2000. "Simulation-Based Finite and Large Sample Tests in Multivariate Regressions," Cahiers de recherche 2000-10, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  11. Donald W. K. Andrews, 2003. "Tests for Parameter Instability and Structural Change with Unknown Change Point: A Corrigendum," Econometrica, Econometric Society, vol. 71(1), pages 395-397, January.
  12. 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.
  13. Andrew W. Lo & Craig A. MacKinlay, . "The Size and Power of the Variance Ratio Test in Finite Samples: A Monte Carlo Investigation," Rodney L. White Center for Financial Research Working Papers 28-87, Wharton School Rodney L. White Center for Financial Research.
  14. Dufour, Jean-Marie & Khalaf, Lynda, 2002. "Exact tests for contemporaneous correlation of disturbances in seemingly unrelated regressions," Journal of Econometrics, Elsevier, vol. 106(1), pages 143-170, January.
  15. Jean-Thomas Bernard & Jean-Marie Dufour & Ian Genest & Lynda Khalaf, 2001. "Simulation-Based Finite-Sample Tests for Heteroskedasticity and ARCH Effects," CIRANO Working Papers 2001s-25, CIRANO.
  16. Andrews, Donald W K & Ploberger, Werner, 1994. "Optimal Tests When a Nuisance Parameter Is Present Only under the Alternative," Econometrica, Econometric Society, vol. 62(6), pages 1383-1414, November.
  17. Jushan Bai & Robin L. Lumsdaine & James H. Stock, 1998. "Testing For and Dating Common Breaks in Multivariate Time Series," Review of Economic Studies, Oxford University Press, vol. 65(3), pages 395-432.
  18. Perron, P. & Bai, J., 1995. "Estimating and Testing Linear Models with Multiple Structural Changes," Cahiers de recherche 9552, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  19. Savin, N.E., 1984. "Multiple hypothesis testing," Handbook of Econometrics, in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 2, chapter 14, pages 827-879 Elsevier.
  20. Brown, Stephen J. & Warner, Jerold B., 1985. "Using daily stock returns : The case of event studies," Journal of Financial Economics, Elsevier, vol. 14(1), pages 3-31, March.
  21. W. A. Jayatissa & R.W. Farebrother, 1977. "A Predictive Test for the Reduced Form Model," NBER Chapters, in: Annals of Economic and Social Measurement, Volume 6, number 4, pages 473-476 National Bureau of Economic Research, Inc.
  22. DUFOUR, Jean-Marie & KHALAF, Lynda & BEAULIEU, Marie-Claude, 2003. "Exact Skewness-Kurtosis Tests for Multivariate Normality and Goodness-of-fit in Multivariate Regressions with Application to Asset Pricing Models," Cahiers de recherche 2003-09, Universite de Montreal, Departement de sciences economiques.
  23. W. A. Jayatissa, 1976. "Criteria for Evaluation of Econometric Models: A Correction," NBER Chapters, in: Annals of Economic and Social Measurement, Volume 5, number 1, pages 161-162 National Bureau of Economic Research, Inc.
  24. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
  25. Andrews, Donald W K, 1993. "Tests for Parameter Instability and Structural Change with Unknown Change Point," Econometrica, Econometric Society, vol. 61(4), pages 821-56, July.
  26. Salinger, Michael, 1992. "Standard Errors in Event Studies," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 27(01), pages 39-53, March.
  27. BAI, Jushan & PERRON, Pierre, 1998. "Computation and Analysis of Multiple Structural-Change Models," Cahiers de recherche 9807, Universite de Montreal, Departement de sciences economiques.
  28. Diebold, Francis X. & Chen, Celia, 1996. "Testing structural stability with endogenous breakpoint A size comparison of analytic and bootstrap procedures," Journal of Econometrics, Elsevier, vol. 70(1), pages 221-241, January.
  29. Berndt, Ernst R & Savin, N Eugene, 1977. "Conflict among Criteria for Testing Hypotheses in the Multivariate Linear Regression Model," Econometrica, Econometric Society, vol. 45(5), pages 1263-77, July.
  30. Arsenault, E. & Bernard, J. -T. & Carr, C. W. & Genest-Laplante, E., 1995. "A total energy demand model of Quebec : Forecasting properties," Energy Economics, Elsevier, vol. 17(2), pages 163-171, April.
  31. Dufour, Jean-Marie & Jouini, Tarek, 2006. "Finite-sample simulation-based inference in VAR models with application to Granger causality testing," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 229-254.
  32. Jean-Thomas Bernard & Nadhem Idoudi & Lynda Khalaf & Clément Yélou, 2007. "Finite sample inference methods for dynamic energy demand models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(7), pages 1211-1226.
  33. Dufour, Jean-Marie, 1980. "Dummy variables and predictive tests for structural change," Economics Letters, Elsevier, vol. 6(3), pages 241-247.
  34. John J. Binder, 1985. "Measuring the Effects of Regulation with Stock Price Data," RAND Journal of Economics, The RAND Corporation, vol. 16(2), pages 167-183, Summer.
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