메뉴 건너뛰기




Volumn 13, Issue 6, 1997, Pages 818-849

Wald-type tests for detecting breaks in the trend function of a dynamic time series

Author keywords

[No Author keywords available]

Indexed keywords


EID: 0031316311     PISSN: 02664666     EISSN: None     Source Type: Journal    
DOI: 10.1017/s0266466600006289     Document Type: Article
Times cited : (153)

References (22)
  • 1
    • 0001162133 scopus 로고
    • Tests for parameter instability and structural change with unknown change point
    • Andrews, D.W.K. (1993) Tests for parameter instability and structural change with unknown change point. Econometrica 61, 821-856.
    • (1993) Econometrica , vol.61 , pp. 821-856
    • Andrews, D.W.K.1
  • 2
    • 0000209591 scopus 로고
    • Optimal tests when a nuisance parameter is present only under the alternative
    • Andrews, D.W.K. & W. Ploberger (1994) Optimal tests when a nuisance parameter is present only under the alternative. Econometrica 62, 1383-1414.
    • (1994) Econometrica , vol.62 , pp. 1383-1414
    • Andrews, D.W.K.1    Ploberger, W.2
  • 4
    • 17844398410 scopus 로고    scopus 로고
    • Testing for and dating breaks in integrated and cointegrated time series
    • forthcoming
    • Bai, J., R.L. Lumsdaine, & J.H. Stock (1997) Testing for and dating breaks in integrated and cointegrated time series. Review of Economic Studies, forthcoming.
    • (1997) Review of Economic Studies
    • Bai, J.1    Lumsdaine, R.L.2    Stock, J.H.3
  • 5
    • 17844398667 scopus 로고    scopus 로고
    • Testing for and estimation of multiple structural changes
    • forthcoming
    • Bai, J. & P. Perron (1997) Testing for and estimation of multiple structural changes. Econometrica, forthcoming.
    • (1997) Econometrica
    • Bai, J.1    Perron, P.2
  • 6
    • 84881847928 scopus 로고
    • Recursive and sequential tests of the unit root and trend break hypothesis: Theory and international evidence
    • Banerjee, A., R.L. Lumsdaine, & J.H. Stock (1992) Recursive and sequential tests of the unit root and trend break hypothesis: Theory and international evidence. Journal of Business and Economic Slatistics 10, 271-287.
    • (1992) Journal of Business and Economic Slatistics , vol.10 , pp. 271-287
    • Banerjee, A.1    Lumsdaine, R.L.2    Stock, J.H.3
  • 7
    • 58149365309 scopus 로고
    • The great wars, the great crash and steady state growth: Some new evidence about old stylized fact
    • Ben-David, D. & D.H. Papell (1995) The great wars, the great crash and steady state growth: Some new evidence about old stylized fact. Journal of Monetary Economics 36, 453-475.
    • (1995) Journal of Monetary Economics , vol.36 , pp. 453-475
    • Ben-David, D.1    Papell, D.H.2
  • 8
    • 0000798882 scopus 로고
    • Asymptotic inference for nearly stationary AR(1) processes
    • Chan, C.H. & C.Z. Wei (1987) Asymptotic inference for nearly stationary AR(1) processes. Annals of Statistics 15, 1050-1063.
    • (1987) Annals of Statistics , vol.15 , pp. 1050-1063
    • Chan, C.H.1    Wei, C.Z.2
  • 12
    • 0000384372 scopus 로고
    • On detecting changes in the mean of normal variates
    • Gardner, L.A. (1969) On detecting changes in the mean of normal variates. Annals of Mathematical Statistics 40, 116-126.
    • (1969) Annals of Mathematical Statistics , vol.40 , pp. 116-126
    • Gardner, L.A.1
  • 13
    • 84864410847 scopus 로고
    • Testing for a unit root in a time series with pretest data based model selection
    • Hall, A. (1994) Testing for a unit root in a time series with pretest data based model selection. Journal of Business and Economic Statistics 12, 461-470.
    • (1994) Journal of Business and Economic Statistics , vol.12 , pp. 461-470
    • Hall, A.1
  • 15
    • 84952494734 scopus 로고
    • Tests for parameter instability in regressions with I(1) processes
    • Hansen, B.E. (1992a) Tests for parameter instability in regressions with I(1) processes. Journal of Business and Economic Statistics 10, 321-335.
    • (1992) Journal of Business and Economic Statistics , vol.10 , pp. 321-335
    • Hansen, B.E.1
  • 16
    • 84971943451 scopus 로고
    • Convergence to stochastic integrals for dependent heterogeneous processes
    • Hansen, B.E. (1992b) Convergence to stochastic integrals for dependent heterogeneous processes. Econometric Theory 8, 489-500.
    • (1992) Econometric Theory , vol.8 , pp. 489-500
    • Hansen, B.E.1
  • 17
    • 0001515857 scopus 로고
    • The likelihood ratio test for a change-point in simple linear regression
    • Kim, H.J. & D. Siegmund (1989) The likelihood ratio test for a change-point in simple linear regression. Biometrika 76, 409-423.
    • (1989) Biometrika , vol.76 , pp. 409-423
    • Kim, H.J.1    Siegmund, D.2
  • 18
    • 0039411858 scopus 로고
    • A multicountry characterization of the nonstationarity of aggregate output
    • Kormendi, R.C. & P. Meguire (1990) A multicountry characterization of the nonstationarity of aggregate output. Journal of Money, Credit and Banking 22, 77-93.
    • (1990) Journal of Money, Credit and Banking , vol.22 , pp. 77-93
    • Kormendi, R.C.1    Meguire, P.2
  • 19
    • 0000060371 scopus 로고
    • Testing for structural change in dynamic models
    • Kramer, W., W. Ploberger, & R. Alt (1988) Testing for structural change in dynamic models. Econometrica 56, 1355-1369.
    • (1988) Econometrica , vol.56 , pp. 1355-1369
    • Kramer, W.1    Ploberger, W.2    Alt, R.3
  • 20
    • 0000101621 scopus 로고
    • Properties of sequences of partial sums of polynomial regression residuals with applications to test for change of regression at unknown times
    • MacNeill, I.B. (1978) Properties of sequences of partial sums of polynomial regression residuals with applications to test for change of regression at unknown times. Annals of Statistics 6, 422-433.
    • (1978) Annals of Statistics , vol.6 , pp. 422-433
    • MacNeill, I.B.1
  • 21
    • 0019675649 scopus 로고
    • Spurious periodicity in inappropriately detrended time series
    • Nelson, C.R. & H. Kang (1981) Spurious periodicity in inappropriately detrended time series. Econometrica 49, 741-751.
    • (1981) Econometrica , vol.49 , pp. 741-751
    • Nelson, C.R.1    Kang, H.2
  • 22
    • 0039220852 scopus 로고
    • A Bayesian analysis of trend determination in economic time series
    • Zivot, E. & P.C.B. Phillips (1994) A Bayesian analysis of trend determination in economic time series. Econometric Reviews 13, 291-336.
    • (1994) Econometric Reviews , vol.13 , pp. 291-336
    • Zivot, E.1    Phillips, P.C.B.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.