Fixed-b Inference for Testing Structural Change in a Time Series Regression

Fixed-b Inference for Testing Structural Change in a Time Series Regression

This paper addresses tests for structural change in a weakly dependent time series regression. The cases of full structural change and partial structural change are considered. Heteroskedasticity-autocorrelation (HAC) robust Wald tests based on nonparametric covariance matrix estimators are explored...

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Bibliographic Details
Main Authors: Cheol-Keun Cho, Timothy J. Vogelsang
Format: Article
Language:English
Published: MDPI AG 2016-12-01
Series:Econometrics
Subjects:
HAC estimator
kernel
bandwidth
partial structural change
break point
Online Access:http://www.mdpi.com/2225-1146/5/1/2

Internet

http://www.mdpi.com/2225-1146/5/1/2

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