Testing for nonstationarity using maximum entropy resampling: A misspecification testing perspective

Econometric Reviews

Volumn 27, Issue 4-6, 2008, Pages 363-384

  Koutris, Andreas ^a   Heracleous, Maria S ^b   Spanos, Aris ^a  

^a VIRGINIA POLYTECHNIC INSTITUTE AND STATE UNIVERSITY   (United States)

^b AMERICAN UNIVERSITY   (United States)

Author keywords

Berstein polynomials; Maximum Entropy bootstrap; Nonstationarity; Parameter t invariance; Rolling window estimates; t Heterogeneity

Indexed keywords

EID: 45849149304     PISSN: 07474938     EISSN: 15324168     Source Type: Journal    
DOI: 10.1080/07474930801959776     Document Type: Article

References (32)

1. Andreou, E., Spanos, A. (2003). Statistical adequacy and the testing of trend versus difference stationarity. Econometric Reviews 22:217-252 (with discussion).
2. Andrews, W. K. (1993). Tests for parameter instability and structural change with unknown change point. Econometrica 61:821-856. (Corrigendum, 71:395-397).
3. Andrews, W. K., Ploberger, W. (1994). Optimal tests when a nuisance parameter is present only under the alternative. Econometrica 62:1383-1414.
4. Andrews, W. K., Lee, I., Ploberger, W. (1996). Optimal change point tests for normal linear regression. Journal of Econometrics 70:9-38.
5. Bai, J., Perron, P. (1998). Estimating and testing linear models with multiple structural changes. Econometrica 66:47-78.
6. Bai, J., Perron, P. (2003). Computation and analysis of multiple structural change models. Journal of Applied Econometrics 18:1-22.
7. Billingsley, P. (2003). Probability and Measure. 3rd ed. New York: Wiley.
8. Brown, R. L., Durbin, J., Evans, M. (1975). Techniques for testing the constancy of regression relationships over time. Journal of the Royal Statistical Society B 37:149-192.
9. Chow, G. C. (1960). Tests of equality between sets of coefficients in two linear regressions. Econometrica 28:591-605.
10. Dickey, D. A., Fuller, W. A. (1979). Distributions of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Association 74:427-431.
11. Gzyl, H., Palacios, J. L. (2003). On the approximation properties of Bernstein polynomials via probabilistic tools. Boletin de la Associacion Matematica Venezolana X:5-13.
12. Hall, A. R. (2005). Generalized Method of Moments. Oxford: Oxford University Press.
13. Hansen, B. E. (1992). Testing for parameter instability in linear models. Journal of Policy Modeling 14:517-533.
14. Hansen, B. E. (2000). Testing for structural change in conditional models. Journal of Econometrics 97:93-115.
15. Kramer, W., Sonnberger, H. (1986). The Linear Regression Model Under Test. Heidelberg, Wien: Physica-Verlag.
16. Koutris, A. (2005). Testing for Structural Change: Evaluation of the Current Methodologies, a Misspecification Testing Perspective and Applications. PhD. dissertation, Virginia Polytechnic Institute and State University.
17. Koutris, A., Spanos, A. (2006). Testing for Nonstationarity using a Resampling Procedure. Working paper, Virginia Polytechnic Institute and State University.
18. Lorentz, G. G. (1986). Bernstein Polynomials. London: Chelsea Publishers.
19. Mayo, D. G., Spanos, A. (2004). Methodology in practice: statistical misspecification testing. Philosophy of Science 71:1007-1025.
20. Nyblom, J. (1989). Testing for the constancy of parameters over time. Journal of the American Statistical Association 84:223-230.
21. Perron, P. (1989). The great crash, the oil price shock, and the unit root hypothesis. Econometrica 57:1361-1401.
22. Perron, P. (2006). Dealing with structural breaks. In: Mills, T. C., Patterson, K., eds. New Palgrave Handbook of Econometrics. Vol. 1. London: MacMillan, pp. 278-352.
23. Phillips, P. C. B. (1987). Time series regressions with a unit root. Econometrica 55:227-301.
24. Ploberger, W., Krämer, W., Kontrus, K. (1989). A new test for structural stability in the linear regression model. Journal of Econometrics 40:307-318.
25. Quandt, R. E. (1960). Tests of the hypothesis that a linear regression system obeys two separate regimes. Journal of the American Statistical Association 55:324-330.
26. Spanos, A. (1986). Statistical Foundations of Econometric Modelling. Cambridge: Cambridge University Press.
27. Spanos, A. (1990). Unit roots and their dependence on the implicit conditioning information set. Advances in Econometrics 8:271-292.
28. Spanos, A. (1999). Probability Theory and Statistical Inference. Cambridge: Cambridge University Press.
29. Spanos, A. (2000). Revisiting data mining: 'Hunting' with or without a license. Journal of Economic Methodology 7:231-264.
30. Spanos, A. (2001). Time series and dynamic models. In: Baltagi, B., ed. A Companion to Theoretical Econometrics. Ch. 28. Oxford: Blackwell Publishers, pp. 585-609.
31. Spanos, A., Kourtellos, A. (2002). Model Validation and Resampling. Working paper, Virginia Polytechnic Institute and State University.
32. Vinod, H. D. (2004). Ranking mutual funds using unconventional utility theory and stochastic dominance. Journal of Empirical Finance 11(3):353-377.