Testing jointly for structural changes in the error variance and coefficients of a linear regression model
Year of publication: |
2020
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Authors: | Perron, Pierre ; Yamamoto, Yohei ; Zhou, Jing |
Published in: |
Quantitative economics : QE ; journal of the Econometric Society. - Oxford [u.a.] : Wiley, ISSN 1759-7331, ZDB-ID 2569569-1. - Vol. 11.2020, 3, p. 1019-1057
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Subject: | Change-point | variance shift | conditional heteroskedasticity | likeli-hood ratio tests | Schätztheorie | Estimation theory | Statistischer Test | Statistical test | Varianzanalyse | Analysis of variance | Strukturwandel | Structural change | Heteroskedastizität | Heteroscedasticity |
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.3982/QE1332 [DOI] hdl:10419/253589 [Handle] |
Classification: | C22 - Time-Series Models |
Source: | ECONIS - Online Catalogue of the ZBW |
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