CRITICAL VALUES AND P VALUES OF BESSEL PROCESS DISTRIBUTIONS: COMPUTATION AND APPLICATION TO STRUCTURAL BREAK TESTS

Arturo Estrella ()

Econometric Theory, 2003, vol. 19, issue 06, pages 1128-1143

Abstract: The p values of structural break tests, when the break date or dates are unknown, must be calculated in terms of the probability distributions of functions of Bessel processes. The literature so far has maintained that direct computation of these p values and of the corresponding critical values is too difficult and has relied on approximations based on simulations, asymptotic expansions, or curve fitting. This paper presents a fast simple method of calculating exact p values and critical values and uses the method to evaluate the accuracy of the various approximations.The author is grateful for comments and suggestions from Don Andrews, Clint Cummins, Jeff Fuhrer, Ken Garbade, Jim Mahoney, Tony Rodrigues, Josh Rosenberg, Sebastian Schich, participants in a workshop at the Federal Reserve Bank of New York, and the referees. The views expressed in this paper are those of the author and do not necessarily represent those of the Federal Reserve Bank of New York or the Federal Reserve System.

Date: 2003
View citations in EconPapers

Downloads: (external link)
http://journals.cambridge.org/abstract_S0266466603196107 link to article abstract page (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:cup:etheor:v:19:y:2003:i:06:p:1128-1143_19

Access Statistics for this article

More articles in Econometric Theory from Cambridge University Press
Address: The Edinburgh Building, Shaftesbury Road, Cambridge CB2 2RU UK
Series data maintained by Mike Eden ().