A Modified Fluctuation Test for Structural Change

Kang Hao and Brett Inder

No 267771, Department of Econometrics and Business Statistics Working Papers from Monash University, Department of Econometrics and Business Statistics

Abstract: This paper investigates the problem of testing for structural change for diagnostic purposes. We propose a modified form of the fluctuation test of Ploberger .et al. (1989). The modified fluctuation test has the same asymptotic distribution as the fluctuation test but much better finite sample performance. A comparison of the supF test of Andrews (1993) shows that both tests are actually based on the same components.

Keywords: Research; Methods/Statistical; Methods (search for similar items in EconPapers)
Pages: 22
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Persistent link: https://EconPapers.repec.org/RePEc:ags:monebs:267771

DOI: 10.22004/ag.econ.267771

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