This paper analyzes the maximum likelihood estimation for vector autoregressions with stochastic volatility. The stochastic volatility is modeled following Uhlig (1997). The asymptotic distribution of the maximum likelihood estimate is discussed under mild regularity conditions. The maximum...

Perron [Perron, P., 1989. The great crash, the oil price shock and the unit root hypothesis. Econometrica 57, 1361-1401] introduced a variety of unit root tests that are valid when a break in the trend function of a time series is present. The motivation was to devise testing procedures that...

We compare the asymptotic relative efficiency of the Exp, Mean, and Sup functionals of the Wald, LM and LR tests for structural change analyzed by Andrews [Andrews, D.W.K., 1993. Tests for parameter instability and structural change with unknown change point. Econometrica 61, 821-856.] and...

This paper develops an estimation procedure for a common deterministic time trend break in large panels. The dependent variable in each equation consists of a deterministic trend and an error term. The deterministic trend is subject to a change in the intercept, slope or both, and the break date...