Výsledky vyhledávání - "Alaa, Α.Μ."

Structural break tests robust to regression misspecification

Autor: Alaa, Α.Μ., Andreou, Elena, Boldea, O.

Publikováno v: Econometrics, 6(2):27
Econometrics; Volume 6; Issue 2; Pages: 27
Econometrics
Econometrics, Vol 6, Iss 2, p 27 (2018)

Structural break tests for regression models are sensitive to model misspecification. We show—analytically and through simulations—that the sup Wald test for breaks in the conditional mean and variance of a time series process exhibits severe siz

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::d263660b97caa8f5e4f29696cc683dc0
https://research.tilburguniversity.edu/en/publications/5911601c-f490-4eaf-a632-0d2d32d46433

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