The finite-sample properties of bootstrap tests in multiple structural change models
Jamel Jouini () and
Mohamed Boutahar
Economics Bulletin, 2010, vol. 30, issue 1, 55-66
Abstract:
We propose bootstrap methods to approximate the distributions of test statistics for multiple structural breaks. The major advantage of these methods is that they allow freeing us from the constraints imposed by the asymptotic theory on parameters of the model. We also find that the asymptotic critical values lead to serious size distortions while, on the contrary, the bootstrap procedure leads to remarkably reliable tests in dynamic models.
Keywords: Structural change; bootstrap tests; size properties (search for similar items in EconPapers)
JEL-codes: C2 (search for similar items in EconPapers)
Date: 2010-01-06
References: View references in EconPapers View complete reference list from CitEc
Citations:
Downloads: (external link)
http://www.accessecon.com/Pubs/EB/2010/Volume30/EB-10-V30-I1-P5.pdf (application/pdf)
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: https://EconPapers.repec.org/RePEc:ebl:ecbull:eb-09-00447
Access Statistics for this article
More articles in Economics Bulletin from AccessEcon
Bibliographic data for series maintained by John P. Conley ().