Fixed-b Inference for Testing Structural Change in a Time Series Regression
AbstractThis paper addresses tests for structural change in a weakly dependent time series regression. The cases of full structural change and partial structural change are considered. Heteroskedasticity-autocorrelation (HAC) robust Wald tests based on nonparametric covariance matrix estimators are explored. Fixed-b theory is developed for the HAC estimators which allows fixed-b approximations for the test statistics. For the case of the break date being known, the fixed-b limits of the statistics depend on the break fraction and the bandwidth tuning parameter as well as on the kernel. When the break date is unknown, supremum, mean and exponential Wald statistics are commonly used for testing the presence of the structural break. Fixed-b limits of these statistics are obtained and critical values are tabulated. A simulation study compares the finite sample properties of existing tests and proposed tests. View Full-Text
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Cho, C.-K.; Vogelsang, T.J. Fixed-b Inference for Testing Structural Change in a Time Series Regression. Econometrics 2017, 5, 2.
Cho C-K, Vogelsang TJ. Fixed-b Inference for Testing Structural Change in a Time Series Regression. Econometrics. 2017; 5(1):2.Chicago/Turabian Style
Cho, Cheol-Keun; Vogelsang, Timothy J. 2017. "Fixed-b Inference for Testing Structural Change in a Time Series Regression." Econometrics 5, no. 1: 2.
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