Kolmogorov-Smirnov Type Testing for Structural Breaks: A New Adjusted-Range Based Self-Normalization Approach
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- Hong, Yongmiao & Linton, Oliver & McCabe, Brendan & Sun, Jiajing & Wang, Shouyang, 2024. "Kolmogorov–Smirnov type testing for structural breaks: A new adjusted-range based self-normalization approach," Journal of Econometrics, Elsevier, vol. 238(2).
- Hong, Y. & Linton, O. B. & McCabe, B. & Sun, J. & Wang, S., 2023. "Kolmogorov-Smirnov Type Testing for Structural Breaks: A New Adjusted-Range Based Self-Normalization Approach," Janeway Institute Working Papers 2316, Faculty of Economics, University of Cambridge.
References listed on IDEAS
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More about this item
Keywords
Change-Point Testing; CUSUM Process; Parameter Constancy; Studentization;All these keywords.
JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C19 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Other
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2024-01-01 (Econometrics)
- NEP-ETS-2024-01-01 (Econometric Time Series)
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