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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

Assessing predictability and structural change : econometric analyses with financial applications

Deng, Ai - 2006

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

A Comparison of Alternative Asymptotic Frameworks to Analyze a Structural Change in a Linear Time Trend

Deng, Ai - 2016

This paper considers various asymptotic approximations to the finite sample distribution of the estimate of the break date in a simple one-break model for a linear trend function that exhibits a change in slope, with or without a concurrent change in intercept. The noise component is either...

Persistent link: https://www.econbiz.de/10013002023

Unit roots and structural breaks

Perron, Pierre - In: Econometrics : open access journal 5 (2017) 2, pp. 1-3

Persistent link: https://www.econbiz.de/10011654429

The great moderation : updated evidence with joint tests for multiple structural changes in variance and persistence

Perron, Pierre; Yamamoto, Yohei - In: Empirical economics : a quarterly journal of the … 62 (2022) 3, pp. 1193-1218

Persistent link: https://www.econbiz.de/10012819527

GLS-based unit root tests with multiple structural breaks under both the null and the alternative hypothesis

Carrion i Silvestre, Josep Lluís; Kim, Dukpa; Perron, … - In: Econometric theory 25 (2009) 6, pp. 1754-1792

Persistent link: https://www.econbiz.de/10003904443

Let's take a brake : trends and cycles in US real GDP

Perron, Pierre; Wada, Tatsuma - In: Journal of monetary economics 56 (2009) 6, pp. 749-765

Persistent link: https://www.econbiz.de/10003893980

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

A note on estimating a structural change in persistence

Kejriwal, Mohitosh; Perron, Pierre - In: Economics letters 117 (2012) 3, pp. 932-935

Persistent link: https://www.econbiz.de/10009683385