Bootstrap Tests for Structural Breaks When the Regressors and Error Term are Nonstationary
Year of publication: |
2011-03
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Authors: | Lee, Dong Jin |
Institutions: | Department of Economics, University of Connecticut |
Subject: | Structural break | sieve bootstrap | fixed regressor bootstrap | robust test | break in linear trend |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | The price is Free Number 2011-05 44 pages |
Classification: | C10 - Econometric and Statistical Methods: General. General ; C12 - Hypothesis Testing ; C22 - Time-Series Models |
Source: |
-
Robust GMM Tests for Structural Breaks
Gagliardini, Patrick, (2004)
-
Sieve Bootstrap for Strongly Dependent Stationary Processes
Kapetanios, George, (2006)
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ARMA Sieve bootstrap unit root tests
Richard, Patrick, (2007)
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Testing Parameter Stability in Quantile Models: An Application to the U.S. Inflation Process
Lee, Dong Jin, (2009)
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Parametric and Semiparametric Efficient Tests for Parameter Instability
Lee, Dong Jin, (2008)
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The New Keynesian Phillips Curves in Multiple Quantiles and the Asymmetry of Monetary Policy
Lee, Dong Jin, (2012)
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