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A non-local perspective on the power properties of the CUSUM and CUSUM of squares tests for structural change

Deng, Ai; Perron, Pierre - In: Journal of econometrics 142 (2008) 1, pp. 212-240

Persistent link: https://www.econbiz.de/10003608173

A Non-Local Perspective on the Power Properties of the CUSUM and CUSUM of Squares Tests for Structural Change

Deng, Ai - 2015

We consider the power properties of the CUSUM and CUSUM of squares (CUSQ) tests in the presence of a one-time change in the parameters of a linear regression model. A result due to Ploberger and Krämer [1990. The local power of the cusum and cusum of squares tests. Econometric Theory 6,...

Persistent link: https://www.econbiz.de/10013009369

Understanding spurious regression in financial economics

Deng, Ai - In: Journal of financial econometrics : official journal of … 12 (2014) 1, pp. 122-150

Persistent link: https://www.econbiz.de/10010233602

Assessing predictability and structural change : econometric analyses with financial applications

Deng, Ai - 2006

Persistent link: https://www.econbiz.de/10003965303

Understanding Spurious Regression in Financial Economics

Deng, Ai - 2015

A new asymptotic framework is used to provide finite sample approximations for various statistics in the spurious return predictive regression analyzed by Ferson, Sarkissian and Simin (2003a). Our theory explains all the findings of Ferson et al (2003a) and confirms the theoretical possibility...

Persistent link: https://www.econbiz.de/10013020656

Tests of return predictability : an analysis of their properties based on a continuous time asymptotic framework

Perron, Pierre; Vodounou, Cosmé - In: Journal of empirical finance 11 (2004) 2, pp. 203-230

Persistent link: https://www.econbiz.de/10001981312

Estimating and testing multiple structural changes in linear models using band spectral regressions

Yamamoto, Yohei; Perron, Pierre - In: The econometrics journal 16 (2013) 3, pp. 400-429

Persistent link: https://www.econbiz.de/10010253633

Testing for multiple structural changes iin cointegrated regression models

Kejriwal, Mohitosh; Perron, Pierre - In: Journal of business & economic statistics : JBES ; a … 28 (2010) 4, pp. 503-522

Persistent link: https://www.econbiz.de/10008736147

Estimating restricted structural change models

Perron, Pierre; Qu, Zhongjun - In: Journal of econometrics 134 (2006) 2, pp. 373-399

Persistent link: https://www.econbiz.de/10003374322

Testing for multiple structural changes in cointegrated regression models

Kejriwal, Mohitosh; Perron, Pierre - 2008 - Rev. November 20, 2008

Persistent link: https://www.econbiz.de/10003819885