Potential pitfalls in determining multiple structural changes with an application to purchasing power parity
Article Abstract:
The empirical performances of the Bai and Perron multiple structural change tests are investigated. Size distortions in persistent series are corrected by applying changes to the Bai structural change test. Results of tests for long-run purchasing power parity using unit root and structural change tests are reconciled.
Publication Name: Journal of Business & Economic Statistics
Subject: Mathematics
ISSN: 0735-0015
Year: 2008
User Contributions:
Comment about this article or add new information about this topic:
Robust nonnested testing and the demand for money
Article Abstract:
A robust test that generalizes the J and F tests for nonnested dynamic models is presented. Bootstrap methods or fixed-b asymptotic are proposed to improve approximation of the sampling distribution of test statistics. US money demand models are studied using the proposed methods and models.
Publication Name: Journal of Business & Economic Statistics
Subject: Mathematics
ISSN: 0735-0015
Year: 2008
User Contributions:
Comment about this article or add new information about this topic:
- Abstracts: Estimation of exact linear time-varying constraints, with an application to population projections. Constraining Kalman filter and smoothing estimates to satisfy time-varying restrictions
- Abstracts: Estimation of fractional dependent variables in dynamic panel data models with an application to firm dividend policy
- Abstracts: Multivariate tests of mean-variance efficiency with possibly non-Gaussian errors: an exact simulation-based approach. part 2