Download or read book Testing for Structural Change in Cointegrated Regression Models written by B. A. Inder and published by . This book was released on 1993 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Testing for Structural Change in Cointegrated Regression Models written by Kang Hao and published by . This book was released on 1996 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Testing for Structural Change in Cointegrated Regression Models written by Hao Kang and published by . This book was released on 1996 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book A Diagnostic Test for Structural Change in Cointegrated Regression Models written by Hao Kang and published by . This book was released on 1994 with total page 10 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Testing for Multiple Structural Changes in Cointegrated Regression Models written by Mohitosh Kejriwal and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Unit Roots Cointegration and Structural Change written by G. S. Maddala and published by Cambridge University Press. This book was released on 1998 with total page 528 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive review of unit roots, cointegration and structural change from a best-selling author.
Download or read book Modelling and Testing for Structural Changes in Panel Cointegration Models with Common and Idiosyncratic Stochastic Trend written by Chihwa Kao and published by . This book was released on 2011 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we propose an estimation and testing framework for parameter instability in cointegrated panel regressions with common and idiosyncratic trends. We develop tests for structural change for the slope parameters under the null hypothesis of no structural break against the alternative hypothesis of (at least) one common change point, which is possibly unknown. The limiting distributions of the proposed test statistics are derived. Monte Carlo simulations examine size and power of the proposed tests.
Download or read book Testing for Structural Change in Linear Regression Models written by Kang Hao and published by . This book was released on 1994 with total page 456 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Macroeconometrics and Time Series Analysis written by Steven Durlauf and published by Springer. This book was released on 2016-04-30 with total page 417 pages. Available in PDF, EPUB and Kindle. Book excerpt: Specially selected from The New Palgrave Dictionary of Economics 2nd edition, each article within this compendium covers the fundamental themes within the discipline and is written by a leading practitioner in the field. A handy reference tool.
Download or read book Detecting Structural Change with Heteroskedasticity written by Mumtaz Ahmed and published by . This book was released on 2019 with total page 20 pages. Available in PDF, EPUB and Kindle. Book excerpt: The hypothesis of structural stability that the regression coefficients do not change over time is central to all applications of linear regression models. It is rather surprising that existing theory as well as practice focuses on testing for structural change under homoskedasticity - that is, regression coefficients may change, but the variances remain the same. Since structural change can, and often does, involve changes in variances, this is a puzzling gap in the literature. Our main focus in this paper is to utilize a newly developed test (MZ) by Maasoumi et al. (2010) that tests simultaneously for break in regression coefficients as well as in variance. Currently the sup F test is most widely used for structural change. This has certain optimality properties shown by Andrews (1993). However, this test assumes homoskedasticity across the structural change. We introduce the sup MZ test which caters to unknown breakpoints, and also compare it to the sup F. Our Monte Carlo results show that sup MZ test incurs only a low cost in case of homoskedasticity while having hugely better performance in case of heteroskedasticity. The simulation results are further supported by providing a real world application. In real world data sets, we find that structural change often involves heteroskedasticity. In such cases, the sup F test can fail to detect structural breaks and give misleading results, while the sup MZ test works well. We conclude that the sup MZ test is superior to current methodology for detecting structural change.
Download or read book Testing and Identifying Structural Change in a Cointegration Regression written by Jae-young Kim and published by . This book was released on 1996 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Testing for Structural Change of Predictive Regression Model to Threshold Predictive Regression Model written by Fukang Zhu and published by . This book was released on 2020 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Nonstationary Panels Panel Cointegration and Dynamic Panels written by Badi H. Baltagi and published by Elsevier. This book was released on 2000 with total page 351 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the 16th Edition of Advances in Econometrics we present twelve papers discussing the current interface between Marketing and Econometrics. The authors are leading scholars in the fields and introduce the latest models for analysing marketing data. The papers are representative of the types of problems and methods that are used within the field of marketing. Marketing focuses on the interaction between the firm and the consumer. Economics encompasses this interaction as well as many others. Economics, along with psychology and sociology, provides a theoretical foundation for marketing.
Download or read book Strucchange an R package for testing for structural change in linear regression models written by Achim Zeileis and published by . This book was released on 2001 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Testing for Parameter Instability and Structural Change in Persistent Predictive Regressions written by Torben G. Andersen and published by . This book was released on 2021 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper develops parameter instability and structural change tests within predictive regressions for economic systems governed by persistent vector autoregressive dynamics. Specifically, in a setting where all - or a subset - of the variables may be fractionally integrated and the predictive relation may feature cointegration, we provide sup-Wald break tests that are constructed using the Local speCtruM (LCM) approach. The new tests cover both parameter variation and multiple structural changes with unknown break dates, and the number of breaks being known or unknown. We establish asymptotic limit theory for the tests, showing that it coincides with standard testing procedures. As a consequence, existing critical values for tied-down Bessel processes may be applied, without modification. We implement the new structural change tests to explore the stability of the fractionally cointegrating relation between implied- and realized volatility (IV and RV). Moreover, we assess the relative efficiency of IV forecasts against a challenging time-series benchmark constructed from high-frequency data. Unlike existing studies, we find evidence that the IV-RV cointegrating relation is unstable, and that carefully constructed time-series forecasts are more efficient than IV in capturing low-frequency movements in RV.
Download or read book Transformations for an Exact Goodness to fit Test of Structural Change in the Linear Regression Model written by Maxwell L. King and published by . This book was released on 1989 with total page 11 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Independence of tests for structural change in regression models written by G. D. A. Phillips and published by . This book was released on 1982 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
