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.

Economic forecasting, Time-series analysis, Time series analysis, Purchasing power parity

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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.

Methods, Money demand, Robust statistics, Robustness (Statistics), Statistical hypothesis testing

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