U-statistic Type Tests for Structural Breaks in Linear Regression Models
Download full text from publisher
References listed on IDEAS
- Filippo Altissimo & Valentina Corradi, 2000. "Strong Rules for Detecting the Number of Breaks in a Time Series," Econometric Society World Congress 2000 Contributed Papers 0574, Econometric Society.
- Kramer, Walter & Ploberger, Werner & Alt, Raimund, 1988. "Testing for Structural Change in Dynamic Models," Econometrica, Econometric Society, vol. 56(6), pages 1355-1369, November.
- Gombay Edit & Horváth Lajos & Husková Marie, 1996. "Estimators And Tests For Change In Variances," Statistics & Risk Modeling, De Gruyter, vol. 14(2), pages 145-160, February.
- Olmo Jose & Pouliot William, 2011.
"Early Detection Techniques for Market Risk Failure,"
Studies in Nonlinear Dynamics & Econometrics,
De Gruyter, vol. 15(4), pages 1-55, September.
- Olmo, J. & Pouliot, W., 2008. "Early Detection Techniques for Market Risk Failure," Working Papers 08/09, Department of Economics, City University London.
- Altissimo, Filippo & Corradi, Valentina, 2003. "Strong rules for detecting the number of breaks in a time series," Journal of Econometrics, Elsevier, vol. 117(2), pages 207-244, December.
- Ploberger, Werner & Kramer, Walter & Kontrus, Karl, 1989. "A new test for structural stability in the linear regression model," Journal of Econometrics, Elsevier, vol. 40(2), pages 307-318, February.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Olmo, J. & Pilbeam, K. & Pouliot, W., 2009. "Detecting the Presence of Informed Price Trading Via Structural Break Tests," Working Papers 09/10, Department of Economics, City University London.
More about this item
KeywordsChange-Point tests; CUSUM test; Linear regression models; Stochastic processes; U-statistics;
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:cty:dpaper:08/15. 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: (Research Publications Librarian). General contact details of provider: http://edirc.repec.org/data/decituk.html .