Testing for structural change in conditional models

Journal of Econometrics

Volumn 97, Issue 1, 2000, Pages 93-115

  Hansen, Bruce E ^a  

^a UNIVERSITY OF WISCONSIN MADISON   (United States)

Author keywords

Bootstrap; Changepoint; Nonstationarity; Parameter instability

Indexed keywords

EID: 0001881458     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-4076(99)00068-8     Document Type: Article

References (27)

1. Andrews, D.W.K., 1993. Tests for parameter instability and structural change with unknown change point. Econometrica 61, 821-856.
2. Andrews, D.W.K., Ploberger, W., 1994. Optimal tests when a nuisance parameter is present only under the alternative. Econometrica 62, 1383-1414.
3. Basawa, I.V., Mallik, A.K., McCormick, W.P., Reeves, J.H., Taylor, R.L., 1991. Bootstrapping unstable first-order autoregressive processes. Annals of Statistics 19, 1098-1101.
4. Billingsley, P., 1968. Convergence of Probability Measures. Wiley, New York.
5. Bose, A., 1988. Edgeworth correction by bootstrap in autoregressions. Annals of Statistics 16, 1709-1722.
6. Carlstein, E., 1986. The use of subseries methods for estimating the variance of a general statistic from a stationary time series. Annals of Statistics 14, 1171-1179.
7. Davidson, J., 1994. Stochastic Limit Theory: An Introduction for Econometricians.. University Press, Oxford.
8. Dufour, J.M., Kiviet, J.F., 1996. Exact tests for structural change in first-order dynamic models. Journal of Econometrics 70, 39-68.
9. Dwass, M., 1957. Modified randomization tests for nonparametric hypotheses. Annals of Mathematical Statistics 28, 181-187.
10. Efron, B., 1979. Bootstrap methods: another look at the jackknife. Annals of Statistics 7, 1-26.
11. Engle, R.F., Hendry, D.F., 1993. Testing superexogeneity and invariance in regression models. Journal of Econometrics 56, 119-139.
12. Engle, R.F., Hendry, D.F., Richard, J.F., 1983. Exogeneity. Econometrica 51, 277-304.
13. Gine, E., Zinn, J., 1990. Bootstrapping general empirical measures. Annals of Probability 18, 851-869.
14. Hall, P., 1994. Methodology and theory for the bootstrap.. In: Engle, R.F., McFadden, D.L. (Eds.), Handbook of Econometrics. Vol. IV.. Elsevier, New York.
15. Hall, P., Heyde, C.C., 1980. Martingale Limit Theory and Its Application.. Academic Press, New York.
16. Hansen, B.E., 1992. Convergence to stochastic integrals for dependent heterogeneous processes. Econometric Theory 7, 489-500.
17. Hansen, B.E., 1996. Inference when a nuisance parameter is not identified under the null hypothesis. Econometrica 64, 413-430.
18. Hansen, B.E., 1999. Sample splitting and threshold estimation. Econometrica forthcoming.
19. Hendry, D.F., 1988. The encompassing implications of feedback versus feedforward mechanisms in econometrics. Oxford Economic Papers 40, 132-149.
20. Künsch, H.R., 1989. The jackknife and the bootstrap for general stationary observations. Annals of Statistics 17, 1217-1241.
21. Nyblom, J., 1989. Testing the Constancy of Parameters Over Time. Journal of the American Statistical Association 84, 223-230.
22. Phillips, P.C.B., Loretan, M., 1991. Estimating long run economic equilibria. Review of Economic Studies 58, 407-436.
23. Ploberger, W., Krämer, W., 1996. A trend-resistant test for structural change based on OLS residuals. Journal of Econometrics 70, 175-186.
24. Quandt, R., 1960. Tests of the hypothesis that a linear regression obeys two separate regimes. Journal of the American Statistical Association 55, 324-330.
25. Saikkonen, P., 1991. Asymptotically efficient estimation of cointegration regressions. Econometric Theory 7, 1-21.
26. Stock, J.H., Watson, M.W., 1993. A simple estimator of cointegrating vectors in higher order integrated systems. Econometrica 61, 783-821.
27. Stock, J.H., Watson, M.W., 1996. Evidence on structural instability in macroeconomic time series relations. Journal of Business and Economic Statistics 14, 11-30.