Tests for Parameter Instability and Structural Change with Unknown Change Point

By Donald W. K. Andrews. 1993

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Citations in the corpus

Generalized random forests (2016, methodology): “(1984) have long been popular for classification and regression tasks, there has been a steady stream of papers proposing new splitting rules for other problems, including Athey and Imbens (2016) and Su et al.”
Structural Estimates of the U.S. Sacrifice Ratio (2001, unknown): “We examine this possibility with a set of structural break tests based on the work of Andrews (1993) and Andrews and Ploberger (1994). Much to our surprise, we are able to conclude that all three of the models we analyze are stable over the sample period we study.”
Econometric Computing with HC and HAC Covariance Matrix Estimators (2004, methodology): “Similarly, the same quadratic spectral kernel HAC estimator could also be used for computing and visualizing the sup F test of Andrews (1993), the code is provided in the appendix.”
Optimally Testing General Breaking Processes in Linear Time Series Models (2003, background): “For the more general case of possibly autocorrelated εt, many such estimators have been suggested; see Newey and West (1987) or Andrews (1991) and the discussion in Section 4.”
Group LASSO for Structural Break Time Series (2014, background): “For example, Andrews (1993) considered test of the break structure.”
The Causal Relationship Between Economic Policy Uncertainty and Stock Returns in China and India: Evidence from a Bootstrap Rolling Window Approach (2016, methodology): “By means of the parametric bootstrap procedure, Andrews (1993) and Andrews and Ploberger (1994) report the critical values and p-values for the non-standard asymptotic distributions of these tests.”
The New Keynesian Phillips Curve: From Sticky Inflation to Sticky Prices (2008, methodology): “Since the dates of potential change points in the NKPC are therefore unknown, we perform break tests using the methodology developed by Andrews (1993) and Andrews and Ploberger (1994), taking into account the possibility of multiple breaks through the Bai and Perron (1998, 2003) repartition…”
Detecting relevant changes in time series models (2014, methodology): “Early results on change point inference in linear regression models can be found in Kim and Siegmund (1989), Hansen (1992), Andrews (1993), Kim and Cai (1993) and Andrews et al. (1996).”
Detecting and Predicting Forecast Breakdowns (2009, background): “…the present paper are the literature on forecast optimality testing (e.g., Mincer and Zarnowitz, 1969, Patton and Timmermann, 2006, Elliott, Komunjer and Timmermann, 2005) and the literature on structural break testing (e.g., Andrews, 1993; Dufour, Ghysels and Hall, 1994; Elliott and Muller, 2006).”
Testing for Factor Loading Structural Change under Common Breaks (2015, methodology): “…carries out asymptotic analyses of the power problem for the case of CUSUM and CUSUM squared tests (Deng and Perron, 2006), the tests proposed by Andrews (1993) and Andrews and Ploberger (1994) (Kim and Perron, 2009), and Elliott and M uller's (2006) dqLL test (Perron and Yamamoto, 2013).”
Consumption, (Dis)Aggregate Wealth, and Asset Returns (2010, unknown): “Based on Andrews (1993) and Andrews and Ploberger s (1994) optimality arguments, Seo (1998) de nes average (Ave-LM), exponential average (Exp-LM), and supremum (Sup-LM) LM statistics.”
Local nonlinear least squares: Using parametric information in nonparametric regression (2000, methodology): “15) among others (see also the stability results of Pollard (1984) and Andrews (1994, Theorems 3 and 6)). The Euclidean property of the class M follows directly from Pakes and Pollard (1989, Lemma 2.13) and Assumption A(1). The class U forms a VC (Vapnik}Cx ervonenkis)-graph class15 by Pollard (1984”
Detecting multiple breaks in financial market volatility dynamics (2002, methodology): “2 The tests proposed by Andrews (1993) require a-mixing and can be potentially applied to ARCH type models.”
PRECAUTIONARY S AVING A ND SOCIAL L EARNING ACROSS G ENERATIONS: A N E XPERIMENT* (2003, unknown): “There were two subjects (one Rational and one Cautious) for whom the method of Andrews (1993) indicated a significant policy change but for whom it was ambiguous whether the change indicated positive or negative structural change; so we exclude these two subjects from further consideration.”
SIMPLE, ROBUST, AND POWERFUL TESTS OF THE BREAKING TREND HYPOTHESIS (2009, methodology): “For the more realistic case of an unknown break date, we employ a supremum-based approach as in, inter alia, Andrews (1993) and establish the large sample properties of the resulting tests, which are shown to have pivotal null distributions and to deliver consistent tests, again regardless of…”