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Testing for multiple structural changes with non-homogeneous regressors

Kurozumi, Eiji - In: Journal of time series econometrics 7 (2015) 1, pp. 1-35

Persistent link: https://www.econbiz.de/10010510054

Confidence sets for the break date in cointegrating regressions

Kurozumi, Eiji; Skrobotov, Anton - In: Oxford bulletin of economics and statistics 80 (2018) 3, pp. 514-535

Persistent link: https://www.econbiz.de/10011969523

Behavior of the standard Dickey-Fuller test when there is a Fourier-form break under the null hypothesis

Yang, Lixiong; Lee, Chingnun; Su, Jen-je - In: Economics letters 159 (2017), pp. 128-133

Persistent link: https://www.econbiz.de/10011903459

Confidence sets for the break date based on optimal tests

Kurozumi, Eiji; Yamamoto, Yohei - In: The econometrics journal 18 (2015) 3, pp. 412-435

Persistent link: https://www.econbiz.de/10011473814

A modified confidence set for the structural break date in linear regression models

Yamamoto, Yohei - In: Econometric reviews 37 (2018) 6/10, pp. 974-999

Persistent link: https://www.econbiz.de/10012040525

Combining p-values to test for multiple structural breaks in cointegrated regressions

Bergamelli, Michele; Bianchi, Annamaria; Khalaf, Lynda; … - In: Journal of econometrics 211 (2019) 2, pp. 461-482

Persistent link: https://www.econbiz.de/10012303823

Improved confidence sets for the date of a structural break

Yamazaki, Daisuke - In: Econometric reviews 40 (2021) 3, pp. 257-289

Persistent link: https://www.econbiz.de/10012515598

Testing for structural breaks in factor copula models

Manner, Hans; Stark, Florian; Wied, Dominik - In: Journal of econometrics 208 (2019) 2, pp. 324-345

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Chapter 3 Forecast Evaluation

West, Kenneth D. - 2006

This chapter summarizes recent literature on asymptotic inference about forecasts. Both analytical and simulation based methods are discussed. The emphasis is on techniques applicable when the number of competing models is small. Techniques applicable when a large number of models is compared to...

Persistent link: https://www.econbiz.de/10014023703

Bias correction of KPSS test with structural break for reducing of size distortion

Skrobotov, Anton - In: Journal of time series econometrics 6 (2014) 1, pp. 33-61

Persistent link: https://www.econbiz.de/10010225253