Bootstrap test for a structural break under possible heteroscedasticity
نویسندگان
چکیده
منابع مشابه
Double Bootstrap Test for a Structural Break When the Disturbance Variance Changes with the Break*
In this paper we consider the Wald test statistic proposed by Watt (1979) for testing equality between the sets of regression coefficients in two linear regression models when the disturbance variances may possibly be unequal. This test can be also used as a test for a structural break. As shown by Ohtani and Toyoda (1985) and Honda and Ohtani (1986), the test based on the Wald test statistic s...
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ژورنال
عنوان ژورنال: Communications in Statistics - Simulation and Computation
سال: 2015
ISSN: 0361-0918,1532-4141
DOI: 10.1080/03610918.2015.1107581