Stopping Tests in the Sequential Estimation for Multiple Structural Breaks
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References listed on IDEAS
- 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.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Matteo Mogliani, 2010. "Residual-based tests for cointegration and multiple deterministic structural breaks: A Monte Carlo study," PSE Working Papers halshs-00564897, HAL.
- David Hendry & Jurgen A. Doornik & Felix Pretis, 2013. "Step-indicator Saturation," Economics Series Working Papers 658, University of Oxford, Department of Economics.
- Matteo Mogliani & Giovanni Urga & Carlos Winograd, 2009. "Monetary disorder and financial regimes - The demand for money in Argentina, 1900-2006," Working Papers halshs-00575107, HAL.
- Jennifer L. Castle & Jurgen A. Doornik & David F. Hendry & Felix Pretis, 2015. "Detecting Location Shifts during Model Selection by Step-Indicator Saturation," Econometrics, MDPI, Open Access Journal, vol. 3(2), pages 1-25, April.
- Banerjee, Anindya & Urga, Giovanni, 2005. "Modelling structural breaks, long memory and stock market volatility: an overview," Journal of Econometrics, Elsevier, vol. 129(1-2), pages 1-34.
- Matteo Mogliani & Giovanni Urga & Carlos Winograd, 2009. "Monetary disorder and financial regimes - The demand for money in Argentina, 1900-2006," PSE Working Papers halshs-00575107, HAL.
More about this item
KeywordsStructural Breaks; Sequential Testing; Bootstrap;
- C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
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