IDEAS home Printed from https://ideas.repec.org/p/fip/fedpwp/93-11.html
   My bibliography  Save this paper

Testing structural stability with endogenous break point: a size comparison of analytic and bootstrap procedures

Author

Listed:
  • Celia Chen
  • Francis X. Diebold

Abstract

No abstract is available for this item.

Suggested Citation

  • Celia Chen & Francis X. Diebold, 1993. "Testing structural stability with endogenous break point: a size comparison of analytic and bootstrap procedures," Working Papers 93-11, Federal Reserve Bank of Philadelphia.
    • Handle: RePEc:fip:fedpwp:93-11
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Other versions of this item:

    References listed on IDEAS

    as
    1. Christiano, Lawrence J, 1992. "Searching for a Break in GNP," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(3), pages 237-250, July.
    2. White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-838, May.
    3. 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.
    4. Engle, Robert F., 1984. "Wald, likelihood ratio, and Lagrange multiplier tests in econometrics," Handbook of Econometrics, in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 2, chapter 13, pages 775-826, Elsevier.
    5. Hendry, David F., 1984. "Monte carlo experimentation in econometrics," Handbook of Econometrics, in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 2, chapter 16, pages 937-976, Elsevier.
    6. Hackl, P & Westlund, A H, 1989. "Statistical Analysis of "Structural Change": An Annotated Bibliography," Empirical Economics, Springer, vol. 14(2), pages 167-192.
    7. Rayner, Robert K, 1990. "Bootstrapping p Values and Power in the First-Order Autoregression: A Monte Carlo Investigation," Journal of Business & Economic Statistics, American Statistical Association, vol. 8(2), pages 251-263, April.
    8. Andrews, Donald W. K. & Lee, Inpyo & Ploberger, Werner, 1996. "Optimal changepoint tests for normal linear regression," Journal of Econometrics, Elsevier, vol. 70(1), pages 9-38, January.
    9. Andrews, Donald W K, 1993. "Tests for Parameter Instability and Structural Change with Unknown Change Point," Econometrica, Econometric Society, vol. 61(4), pages 821-856, July.
    10. Hansen, Bruce E., 1992. "Testing for parameter instability in linear models," Journal of Policy Modeling, Elsevier, vol. 14(4), pages 517-533, August.
    11. Ericsson, Neil R, 1991. "Monte Carlo Methodology and the Finite Sample Properties of Instrumental Variables Statistics for Testing Nested and Non-nested Hypotheses," Econometrica, Econometric Society, vol. 59(5), pages 1249-1277, September.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Burcu Kapar & William Pouliot, 2013. "Multiple Change-Point Detection in Linear Regression Models via U-Statistic Type Processes," Discussion Papers 13-13, Department of Economics, University of Birmingham.
    2. Cathy S. Goldberg & Francisco A. Delgado, 2001. "Financial Integration of Emerging Markets: An Analysis of Latin America Versus South Asia Using Individual Stocks," Multinational Finance Journal, Multinational Finance Journal, vol. 5(4), pages 259-301, December.
    3. Zeileis, Achim, 2006. "Implementing a class of structural change tests: An econometric computing approach," Computational Statistics & Data Analysis, Elsevier, vol. 50(11), pages 2987-3008, July.
    4. Makram El-Shagi & Sebastian Giesen, 2013. "Testing for Structural Breaks at Unknown Time: A Steeplechase," Computational Economics, Springer;Society for Computational Economics, vol. 41(1), pages 101-123, January.
    5. Breitung, Jörg & Eickmeier, Sandra, 2011. "Testing for structural breaks in dynamic factor models," Journal of Econometrics, Elsevier, vol. 163(1), pages 71-84, July.
    6. Maria Heracleous & Andreas Koutris & Aris Spanos, 2006. "Testing for Structural Breaks and other forms of Non-stationarity: a Misspecification Perspective," Computing in Economics and Finance 2006 493, Society for Computational Economics.
    7. Hamilton, James D., 1996. "Specification testing in Markov-switching time-series models," Journal of Econometrics, Elsevier, vol. 70(1), pages 127-157, January.
    8. Jushan Bai & Pierre Perron, 2003. "Computation and analysis of multiple structural change models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(1), pages 1-22.
    9. Marine Carrasco, 2004. "Chi-square Tests for Parameter Stability," RCER Working Papers 508, University of Rochester - Center for Economic Research (RCER).
    10. Oleg Glouchakov, 2006. "Joint change point estimation in regression coeffcients and variances of the errors of a linear model," Working Papers 2006_3, York University, Department of Economics.
    11. Jamel Jouini, 2006. "Bootstrap Tests in Bivariate VAR Process with Single Structural Change : Power versus Corrected Size and Empirical Illustration," Working Papers halshs-00410759, HAL.
    12. Jose Olmo & William Pouliot, 2014. "Tests to Disentangle Breaks in Intercept from Slope in Linear Regression Models with Application to Management Performance in the Mutual Fund Industry," Discussion Papers 14-02, Department of Economics, University of Birmingham.
    13. O'Reilly, Gerard & Whelan, Karl, 2005. "Testing Parameter Stability: A Wild Bootstrap Approach," Research Technical Papers 8/RT/05, Central Bank of Ireland.
    14. Bernard, Jean-Thomas & Idoudi, Nadhem & Khalaf, Lynda & Yelou, Clement, 2007. "Finite sample multivariate structural change tests with application to energy demand models," Journal of Econometrics, Elsevier, vol. 141(2), pages 1219-1244, December.
    15. Kausik Chaudhuri & Alok Kumar, 2015. "A Markov-Switching Model for Indian Stock Price and Volume," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 14(3), pages 239-257, December.
    16. Geweke, J. & Joel Horowitz & Pesaran, M.H., 2006. "Econometrics: A Bird’s Eye View," Cambridge Working Papers in Economics 0655, Faculty of Economics, University of Cambridge.
    17. Esteve Vicente & Prats Maria A., 2021. "Structural Breaks and Explosive Behavior in the Long-Run: The Case of Australian Real House Prices, 1870–2020," Economics - The Open-Access, Open-Assessment Journal, De Gruyter, vol. 15(1), pages 72-84, January.
    18. Gaies, Brahim & Nakhli, Mohamed Sahbi & Sahut, Jean-Michel & Schweizer, Denis, 2023. "Interactions between investors’ fear and greed sentiment and Bitcoin prices," The North American Journal of Economics and Finance, Elsevier, vol. 67(C).
    19. Perron, Pierre, 2020. "L'estimation de modèles avec changements structurels multiples," L'Actualité Economique, Société Canadienne de Science Economique, vol. 96(4), pages 789-837, Décembre.
    20. Adrian C. Darnell, 1994. "A Dictionary Of Econometrics," Books, Edward Elgar Publishing, number 118, June.

    More about this item

    Keywords

    Econometrics;

    Statistics

    Access and download statistics

    Corrections

    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:fip:fedpwp:93-11. 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: . General contact details of provider: https://edirc.repec.org/data/frbphus.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Beth Paul (email available below). General contact details of provider: https://edirc.repec.org/data/frbphus.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.