Testing for structural change in conditional models

By B. Hansen. 2000

467 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/ded33950e0aded39721475842e25cf4f18931aae

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Citations in the corpus

Testing for Common Trends in Semiparametric Panel Data Models with Fixed Effects, forthcoming (2012, methodology): “Therefore we now propose a xed-regressor bootstrap method (e.g., Hansen (2000)) to obtain the bootstrap approximation to the nite sample distribution of our test statistic under the null.”
HETEROSKEDASTIC TIME SERIES WITH A UNIT ROOT (2009, methodology): “The proof of the result that p ∗,α̂ T w→ U [0,1] then follows using exactly the same arguments as are made in the proof of Theorem 5 of Hansen (2000). n Proof of Theorem 3.”
COINTEGRATION RANK TESTING UNDER CONDITIONAL HETEROSKEDASTICITY (2010, unknown): “Then, using the same arguments as in the proof of Theorem 5 in Hansen (2000), it is entirely straightforward to prove that pbr,T w→ U [0,1] given the foregoing results.”
Has Euro-Area Inflation Persistence Changed Over Time? (2005, background): “However, it has essentially no influence on estimates of the persistence parameter: The OLS and grid-bootstrap estimates show very little change from the univariate case.(15) Figure 9 shows the sequence of Chow statistics obtained from performing the unknown breakpoint tests on the GDP deflator spec”
Oil price shocks and policy uncertainty: New evidence on the effects of US and non-US oil production (2017, methodology): “In Panels B, C, D and E of Table 1, we follow Hansen (1997, 2000) to present test results for the constancy of parameters in the oil-policy uncertainty dynamic VAR models.”
Modelling structural breaks, long memory and stock market volatility: an overview (2005, background): “The latter development is due to Hansen (2000) and contains almost all the empirically relevant cases that are of interest—multiple changes, stochastically trending regressors and structural change in systems.”
EXACT ASYMPTOTIC DISTRIBUTION OF CHANGE-POINT MLE FOR CHANGE IN THE MEAN OF GAUSSIAN SEQUENCES (2010, methodology): “…in climatology; Kaplan and Shishkin (2000) and Lebarbier (2005) for applications in signal processing; Andrews and Ploberger (1994), and Hansen (2000) for applications in econometrics; and Lai (1995), Wu, Cheng and Jeng (2005) and Zou, Qiu and Hawkins (2009) for applications in…”
Improving Forecast Accuracy by Combining Recursive and Rolling Forecasts (2008, unknown): “See Hansen (2000) for a more rigorous definition of asymptotic mean square stationarity. lim / (0,1)T t RR T $*+ " , .”
STATIONARITY TESTS UNDER TIME-VARYING SECOND MOMENTS (2005, methodology): “Notice that the model considered here generalizes the UC model discussed in Kwiatkowski et al. (1992) by allowing both {(to} and {lo-,} to be potentially nonconstant over time.”