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least squares 1 regression models 1 tests of parameter variation 1
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Hall, Alastair 1 Sakkas, Nikolaos 1
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Approximate p-Values of Certain Tests Involving Hypotheses About Multiple Breaks
Hall, Alastair; Sakkas, Nikolaos - In: Journal of Econometric Methods 2 (2013) 1, pp. 53-67
Abstract We provide formulae for calculating approximate p-values for the non-standard asymptotic null distributions of a variety of tests used for detecting multiple structural change in a wide range of models. Our approximations are based on simulated quantiles obtained from 100,000...
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