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dc.contributor.authorPerron, Pierreen_US
dc.contributor.authorOka, Tatsushien_US
dc.date.accessioned2018-01-23T18:35:40Z
dc.date.available2018-01-23T18:35:40Z
dc.date.issued2017
dc.identifier.citationTatsushi Oka, Pierre Perron. 2017. "Testing for Common Breaks in a Multiple Equations System." Journal of Econometrics (R&R re-submitted, accepted 01-18)
dc.identifier.issn0304-4076
dc.identifier.otherhttps://arxiv.org/abs/1606.00092
dc.identifier.urihttps://hdl.handle.net/2144/26266
dc.description.abstractThe issue addressed in this paper is that of testing for common breaks across or within equations. Our framework is very general and allows integrated regressors and trends as well as stationary regressors. The null hypothesis is that some subsets of the parameters (either regression coe cients or elements of the covariance matrix of the errors) share one or more common break dates, with the break dates in the system asymptotically distinct so that each regime is separated by some positive fraction of the sample size. Under the alternative hypothesis, the break dates are not the same and also need not be separated by a positive fraction of the sample size. The test con- sidered is the quasi-likelihood ratio test assuming normal errors, though as usual the limit distribution of the test remains valid with non-normal errors. Also of indepen- dent interest, we provide results about the consistency and rate of convergence when searching over all possible partitions subject only to the requirement that each regime contains at least as many observations as the number of parameters in the model. Sim- ulation results show that the test has good nite sample properties. We also provide an application to various measures of in ation to illustrate its usefulness.en_US
dc.relation.ispartofJournal of Econometrics (R&R re-submitted, accepted 01-18)
dc.subjectChange-pointen_US
dc.subjectSegmented regressionsen_US
dc.subjectBreak datesen_US
dc.subjectHypothesis testingen_US
dc.subjectModel selectionen_US
dc.titleTesting for common breaks in a multiple equations systemen_US
dc.typeArticleen_US
pubs.declined2017-11-11T19:46:42.252+0000en_US
pubs.elements-sourcerepecen_US
pubs.notesEmbargo: Not knownen_US
pubs.organisational-groupBoston Universityen_US
pubs.organisational-groupBoston University, College of Arts & Sciencesen_US
pubs.organisational-groupBoston University, College of Arts & Sciences, Department of Economicsen_US


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