Quandt, R., 1960. Tests of the hypothesis that a linear regression system obeying two separate regimes. Home/Search Document Not in Database Summary Related Articles Check |
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Asymptotic distribution of the sup-Wald statistic under.. - Terence Tai-Leung Chong (Correct)
.... assumption that the timing of break is known a priori (Chow, 1960) The exogeneity of the break point has long been criticized, but the Chow test dominated for decades, as other tests endogenizing of the timing of break did not provide a useful distributional theory for hypothesis testing purposes (Quandt, 1960; Brown et al. 1975) The asymptotic distributions of the sup Wald, sup LM and sup LR test statistics for structural break at unknown timing were recently puzzled out by Andrews (1993) These distributions are constructed based Fax: 852 2603 5805. E mail address: b792703 mailserv.cuhk.edu.hk ....
Quandt, R., 1960. Tests of the hypothesis that a linear regression system obeying two separate regimes.
Asymmetric Adjustment of Commercial Bank Interest Rates in.. - Sander, Kleimeier (2000) (Correct)
....are consistent even in the presence of structural breaks will therefore need to be employed. Second, a time period free of structural breaks in the cointegration relationship has to be identified otherwise the interpretation of the cointegration vector will result in misleading conclusions. As Quandt (1960), Andrews (1993) Diebold and Chen (1996) and Hansen (1992) show, a supremum F test allows the exact determination of the timing of such a structural break. Once the break has been determined, the complete cointegration analysis can then be conducted for the pre and post break periods separately. ....
....all sub samples. 6 lending rate y t for the individual country as the dependent variable and the policy rate x t of the same country as the independent variable: 3) y t = g 1 g 2 x t u t To test for structural breaks a supremum F (supF) test is calculated. This test was first proposed by Quandt (1960) and has recently been the focus of various studies (e.g. Andrews 1993, Diebold and Chen 1996, Hansen 1992) This test can be seen as a rolling Chow test and is more flexible than the standard Chow test because it allows simultaneously to test for the significance and the timing of a structural ....
Quandt, R., 1960, Tests of the hypothesis that a linear regression system obeys two separate regimes, Journal of the American Statistical Association 55, 324-330.
Mutual Fund Styles - Brown, al. (1995) (5 citations) (Correct)
....across securities, the classification into styles will suffice to explain the cross sectional dispersion of fund returns to the extent that differs across styles. Jt The task of assigning funds to style categories can be thought of as a problem in endogenously defining regimes (see for instance Quandt 1959 and 1960). In this way, it bears a family resemblance to switching regression, although, unlike the switching regression, an exact solution to the stylistic classification problem is only obtained through exhaustive combinatorics. The approach we use finds a local optimum via the 10 minimization of a ....
....which relate to known classifications such as Growth and Value management. IV.2 How Many Styles Because the procedure relies upon prespecifying the number of styles, it is natural to ask what is the right number. To address this question, we use a likelihood ratio test suggested by Quandt (1960) for each successive decrease in the number of prespecified styles from nine. We 11 find evidence for using at least eight separate categories . Using fewer 12 than eight appears to force relatively disparate funds together, and increase the model error. IV.3 Comparing Procedures A key ....
Quandt, Richard, 1960, "Tests of the hypothesis that a linear regression system obeys two regimes," Journal of the American Statistical Association 55, pp. 324330.
Cusum Charts for Preliminary Analysis of Individual Observations - Koning, Does (2000) (Correct)
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Quandt, R.E. (1960). "Tests of the hypothesis that a linear regression system obeys two seperate regimes". Journal of the American Statistical Association 55, 324--330.
Shifting Endpoints In The Term Structure Of Interest Rates - April Sharon Kozicki (1997) (1 citation) (Correct)
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, 1361-1401. Quandt, R., 1960, Tests of the hypothesis that a linear regression system obeys two separate
Has the U.S. Economy Become More Stable? A Bayesian Approach.. - Kim, Nelson (1999) (1 citation) (Correct)
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Quandt, R. E., 1960, \Tests of the Hypothesis that a Linear Regression System Obeys 19 Two Separate Regimes," Journal of the American Statistical Association, 55, 324-330.
Bayesian Analysis Of Nonlinear Time Series Models With A Threshold - Lubrano (1998) (Correct)
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QUANDT R.E. (1960) Tests of the Hypothesis that a Linear Regression System Obeys Two Separate Regimes. Journal of the American Statistical Association 55, 324-330.
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