Subsampling tests for variance changes in the presence of autoregressive parameter shifts
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Jushan Bai, 1997.
"Estimation Of A Change Point In Multiple Regression Models,"
The Review of Economics and Statistics,
MIT Press, pages 551-563.
- Swanson, N.R. & White, H., 1995. "A Models Selection Approach to Real-Time Macroeconomic Forecasting Using Linear Models and Artificial Neural Networks," Papers 04-95-12, Pennsylvania State - Department of Economics.
- Norman R. Swanson & Halbert White, 1995. "A Model Selection Approach to Real-Time Macroeconomic Forecasting Using Linear Models and Artificial Neural Networks," Macroeconomics 9503004, EconWPA.
- Hansen, Bruce E., 2000. "Testing for structural change in conditional models," Journal of Econometrics, Elsevier, pages 93-115.
- Andrews, Donald W K & Ploberger, Werner, 1994.
"Optimal Tests When a Nuisance Parameter Is Present Only under the Alternative,"
Econometric Society, pages 1383-1414.
- Donald W.K. Andrews & Werner Ploberger, 1992. "Optimal Tests When a Nuisance Parameter Is Present Only Under the Alternative," Cowles Foundation Discussion Papers 1015, Cowles Foundation for Research in Economics, Yale University.
- Gombay, Edit, 2008. "Change detection in autoregressive time series," Journal of Multivariate Analysis, Elsevier, pages 451-464.
- Andrews, Donald W K, 1993.
"Tests for Parameter Instability and Structural Change with Unknown Change Point,"
Econometric Society, vol. 61(4), pages 821-856, July.
- Donald W.K. Andrews, 1990. "Tests for Parameter Instability and Structural Change with Unknown Change Point," Cowles Foundation Discussion Papers 943, Cowles Foundation for Research in Economics, Yale University.
- Perron, Pierre, 1989.
"The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis,"
Econometric Society, vol. 57(6), pages 1361-1401, November.
- Perron, P, 1988. "The Great Crash, The Oil Price Shock And The Unit Root Hypothesis," Papers 338, Princeton, Department of Economics - Econometric Research Program.
- Jin, Hao & Tian, Zheng & Qin, Ruibing, 2009. "Bootstrap tests for structural change with infinite variance observations," Statistics & Probability Letters, Elsevier, pages 1985-1995.
- Perron, Pierre, 1990.
"Testing for a Unit Root in a Time Series with a Changing Mean,"
Journal of Business & Economic Statistics,
American Statistical Association, vol. 8(2), pages 153-162, April.
- Perron, P., 1989. "Testing For A Unit Root In A Time Series With A Changing Mean," Papers 347, Princeton, Department of Economics - Econometric Research Program.
- Bhattacharya, P.K., 1987. "Maximum likelihood estimation of a change-point in the distribution of independent random variables: General multiparameter case," Journal of Multivariate Analysis, Elsevier, pages 183-208.
- Kokoszka, Piotr & Leipus, Remigijus, 1998. "Change-point in the mean of dependent observations," Statistics & Probability Letters, Elsevier, pages 385-393.
- Last, Michael & Shumway, Robert, 2008. "Detecting abrupt changes in a piecewise locally stationary time series," Journal of Multivariate Analysis, Elsevier, pages 191-214.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Jin, Hao & Zhang, Jinsuo & Zhang, Si & Yu, Cong, 2013. "The spurious regression of AR(p) infinite-variance sequence in the presence of structural breaks," Computational Statistics & Data Analysis, Elsevier, pages 25-40.
More about this item
KeywordsSubsampling Invariance principle Brownian bridge RCUSQ test Variance changes Autoregressive parameter shifts;
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:jmvana:v:101:y:2010:i:10:p:2255-2265. 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: (Dana Niculescu). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description .
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.