TESTING FOR DISTRIBUTIONAL CHANGE IN TIME SERIES

By A. Inoue. Econometric Theory, 2001

106 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/256e1848c0cb197ec2674c7df3951f0c19470ee7

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Citations in the corpus

Nonparametric Bootstrap Procedures for Predictive Inference Based on Recursive Estimation Schemes (2007, methodology): “Although the CS test examined in this application is the same as that discussed in Corradi and Swanson (2002), it should be noted that they use a conditional p-value method for constructing critical values, extending earlier work by Hansen (1996) and Inoue (2001).”
A Consistent Test for Nonlinear Out of Sample Predictive Accuracy (2002, methodology): “Recently Inoue (1999) has extended this approach to allow for non martingale di®erence score functions.”
Sequential block bootstrap in a Hilbert space with application to change point analysis (2014, methodology): “The Kolmogorov Smirnov-type change point test was used for example by Gombay & Horvath (1999) and Inoue (2001) and is”
Alternative tests for correct specification of conditional predictive densities (2019, unknown): “Assumption 1(ii) and 1(iii) are similar to Assumption B in Inoue (2001).”
TESTING FOR THE MARKOV PROPERTY IN TIME SERIES (2011, methodology): “Notes: ADF denotes the augmented Dickey-Fuller test; KS denotes the Kolmogorov-Smirnov test for the stability of stationary distributions proposed by Inoue (2001).”
Bootstrap Conditional Distribution Tests In the Presence of Dynamic Misspecification (2006, unknown): “Although the choice of block length is important, and there exist data-dependent methods for block length selection, they may not work in our context, for the reasons discussed above and in Inoue (2001).”