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Fixed- b Inference for Testing Structural Change in a Time Series Regression

Author

Listed:
  • Cheol-Keun Cho

    (Korea Energy Economics Institute, Ulsan 44543, Korea)

  • Timothy J. Vogelsang

    (Michigan State University, East Lansing, MI 48824, USA)

Abstract

This paper addresses tests for structural change in a weakly dependent time series regression. The cases of full structural change and partial structural change are considered. Heteroskedasticity-autocorrelation (HAC) robust Wald tests based on nonparametric covariance matrix estimators are explored. Fixed- b theory is developed for the HAC estimators which allows fixed- b approximations for the test statistics. For the case of the break date being known, the fixed- b limits of the statistics depend on the break fraction and the bandwidth tuning parameter as well as on the kernel. When the break date is unknown, supremum, mean and exponential Wald statistics are commonly used for testing the presence of the structural break. Fixed- b limits of these statistics are obtained and critical values are tabulated. A simulation study compares the finite sample properties of existing tests and proposed tests.

Suggested Citation

  • Cheol-Keun Cho & Timothy J. Vogelsang, 2016. "Fixed- b Inference for Testing Structural Change in a Time Series Regression," Econometrics, MDPI, vol. 5(1), pages 1-26, December.
    • Handle: RePEc:gam:jecnmx:v:5:y:2016:i:1:p:2-:d:86546
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    References listed on IDEAS

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