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Specification of varying coefficient time series models via generalized flexible least squares
Cointegration tests in the presence of structural breaks
Testing for structural change in a long-memory environment
The effect of linear filters on dynamic time series with structural change
Exact tests for structural change in first-order dynamic models
Specification testing in Markov-switching time-series models
Testing structural stability with endogenous breakpoint A size comparison of analytic and bootstrap procedures
断点内生选择下的结构稳定性检验：解析与自助法的尺寸比较
We compare the performance of two alternative approximations to the finite-sample distributions of test statistics for structural change, one based on asymptotics and one based on the bootstrap. We focus on tests acknowledging that the breakpoint is selected endogenously — in particular, the ‘supremum’ tests of Andrews (1993). We explore a variety of issues of interest in applied work, focusing particularly on smaller samples and persistent dynamics. The bootstrap…
A trend-resistant test for structural change based on OLS residuals
基于 OLS 残差的抗趋势结构变化检验
We discuss the null distribution and local power of an OLS-based version of the CUSUM test and show that this, contrary to other tests for structural change like, e.g., the Ploberger-Kontrus-Krämer fluctuation test, can also be applied to trending data.
Optimal changepoint tests for normal linear regression
正态线性回归中的最优变点检验
This paper determines a class of finite-sample optimal tests for the existence of a changepoint at an unknown time in a normal linear multiple regression model with known variance. Optimal tests for multiple changepoints are also derived. It is shown that the results cover some models of cointegration. Power comparisons of several tests are provided based on simulations.
Residual-based tests for cointegration in models with regime shifts
存在机制转换的协整模型中基于残差的检验
In this paper we examine tests for cointegration which allow for the possibility of regime shifts. We propose ADF-, Zα-, and Zt-type tests designed to test the null of no cointegration against the alternative of cointegration in the presence of a possible regime shift. In particular we consider cases where the intercept and/or slope coefficients have a single break of unknown timing. A formal proof is provided for the limiting distributions of the various tests for the…