Estimating and testing linear models with multiple structural changes
Article Abstract:
An estimation of linear models with multiple structural changes was undertaken through consideration of estimators' properties, break dates' estimates and test construction. The estimation process also involves an analysis of a partial structural change model in which not all of its parameters are subjected to shifts. The method utilized proved to be successful in estimating every break point.
Publisher: Blackwell Publishers Ltd.
Publication Name: Econometrica
Subject: Mathematics
ISSN: 0012-9682
Year: 1998
Economics, Research and Development in the Social Sciences and Humanities, Research, Analysis, Econometrics, Linear models (Statistics), Asymptotic distribution (Probability theory)
Publication Name: Econometrica
Subject: Mathematics
ISSN: 0012-9682
Year: 1998
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Simple robust testing of regression hypothesis
Article Abstract:
An alternative method of robust test statistics construction is used for hypothesis testing of models with errors.
Publisher: Blackwell Publishers Ltd.
Publication Name: Econometrica
Subject: Mathematics
ISSN: 0012-9682
Year: 2000
United States, Research and Development in the Physical, Engineering, and Life Sciences, Statistics, Statistical Data Included, Tests, problems and exercises, Statistics (Mathematics), Robust statistics, Robustness (Statistics)
Publication Name: Econometrica
Subject: Mathematics
ISSN: 0012-9682
Year: 2000
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