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Bootstrap methods for single structural change tests: power versus corrected size and empirical illustration

  • Jamel Jouini

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File URL: http://hdl.handle.net/10.1007/s00362-008-0123-6
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Article provided by Springer in its journal Statistical Papers.

Volume (Year): 51 (2010)
Issue (Month): 1 (January)
Pages: 85-109

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Handle: RePEc:spr:stpapr:v:51:y:2010:i:1:p:85-109
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  1. Davidson, Russell & Flachaire, Emmanuel, 2008. "The wild bootstrap, tamed at last," Journal of Econometrics, Elsevier, vol. 146(1), pages 162-169, September.
  2. Davidson, Russell & MacKinnon, James G., 2006. "The power of bootstrap and asymptotic tests," Journal of Econometrics, Elsevier, vol. 133(2), pages 421-441, August.
  3. Davidson, Russell & MacKinnon, James G., 1999. "The Size Distortion Of Bootstrap Tests," Econometric Theory, Cambridge University Press, vol. 15(03), pages 361-376, June.
  4. 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.
  5. Russell Davidson & James G. MacKinnon, 1994. "Graphical Methods for Investigating the Size and Power of Hypothesis Tests," Working Papers 903, Queen's University, Department of Economics.
  6. Hansen, Bruce E., 2000. "Testing for structural change in conditional models," Journal of Econometrics, Elsevier, vol. 97(1), pages 93-115, July.
  7. Jushan Bai & Pierre Perron, 1998. "Estimating and Testing Linear Models with Multiple Structural Changes," Econometrica, Econometric Society, vol. 66(1), pages 47-78, January.
  8. Achim Zeileis, 2005. "A Unified Approach to Structural Change Tests Based on ML Scores, F Statistics, and OLS Residuals," Econometric Reviews, Taylor & Francis Journals, vol. 24(4), pages 445-466.
  9. Donald W.K. Andrews & Inpyo Lee & Werner Ploberger, 1992. "Optimal Changepoint Tests for Normal Linear Regression," Cowles Foundation Discussion Papers 1016, Cowles Foundation for Research in Economics, Yale University.
  10. White, Halbert, 1982. "Maximum Likelihood Estimation of Misspecified Models," Econometrica, Econometric Society, vol. 50(1), pages 1-25, January.
  11. Chu, C.S.J. & Hornik, K. & Kuan, C.M., 1993. "Mosum Tests for Parameter Constancy," Papers 9319, Southern California - Department of Economics.
  12. Jouini, Jamel & Boutahar, Mohamed, 2005. "Evidence on structural changes in U.S. time series," Economic Modelling, Elsevier, vol. 22(3), pages 391-422, May.
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