Pitfalls of Two Step Testing for Changes in the Error Variance and Coefficients of a Linear Regression Model

Pierre Perron, Yohei Yamamoto and 庸平 山本

No 2019-01, Discussion Papers from Graduate School of Economics, Hitotsubashi University

Keywords: structural change; variance shifts; CUSUM of squares tests; hypothesis testing; Sup-LR test (search for similar items in EconPapers)
JEL-codes: C12 C38 (search for similar items in EconPapers)
Pages: 12 pages
Date: 2019-04
New Economics Papers: this item is included in nep-bec, nep-ecm, nep-ets and nep-ore
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

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https://hermes-ir.lib.hit-u.ac.jp/hermes/ir/re/30296/070econDP19-01.pdf

Related works:
Journal Article: Pitfalls of Two-Step Testing for Changes in the Error Variance and Coefficients of a Linear Regression Model (2019)
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Persistent link: https://EconPapers.repec.org/RePEc:hit:econdp:2019-01

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