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Abstract: : We compare the performance of two alternative approximations to the finite-sample distributions of test statistics for structural change, one based on asymptotics and one based on the bootstrap. We focus on tests acknowledging that the break point is selected endogenously--in particular, the "supremum" tests of Andrews (1993). We explore a variety of issues of interest in applied work, focusing particularly on smaller samples and persistent dynamics. The bootstrap approximation to the... (Update)
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BibTeX entry: (Update)
Diebold, F. X., and Chen, C. (1996). Testing structural stability with endogenous breakpoint: A size comparison of analytic and bootstrap procedures. Journal of Econometrics, 70, 221--241. http://citeseer.ist.psu.edu/diebold96testing.html More
@misc{ diebold96testing,
author = "F. Diebold and C. Chen",
title = "Testing structural stability with endogenous breakpoint: A size comparison
of analytic and bootstrap procedures",
text = "Diebold, F. X., and Chen, C. (1996). Testing structural stability with
endogenous breakpoint: A size comparison of analytic and bootstrap procedures.
Journal of Econometrics, 70, 221--241.",
year = "1996",
url = "citeseer.ist.psu.edu/diebold96testing.html" }
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1 Statistical analysis of structural change: An annotated bibl.. (context) - Hackl, Westlund - 1989
1 Testing for and dating breaks in integrated and cointegrated.. (context) - Bai, Lumsdaine et al. - 1991
[Article contains additional citations not shown here]
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