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dc.contributor.authorPerron, Pierreen_US
dc.contributor.authorYamamoto, Yoheien_US
dc.contributor.authorZhou, Jingen_US
dc.date.accessioned2020-04-09T14:51:59Z
dc.date.available2020-04-09T14:51:59Z
dc.date.issued2019
dc.identifier.citationPierre Perron, Yohei Yamamoto, Jing Zhou. 2019. "Testing jointly for structural changes in the error variance and coefficients of a linear regression model." Unpublished Manuscript, Department of Economics, Boston University.
dc.identifier.urihttps://hdl.handle.net/2144/40070
dc.description.abstractWe provide a comprehensive treatment for the problem of testing jointly for structural changes in both the regression coefficients and the variance of the errors in a single equation system involving stationary regressors. Our framework is quite general in that we allow for general mixing-type regressors and the assumptions on the errors are quite mild. Their distribution can be non-normal and conditional heteroskedasticity is permitted. Extensions to the case with serially correlated errors are also treated. We provide the required tools to address the following testing problems, among others: a) testing for given numbers of changes in regression coefficients and variance of the errors; b) testing for some unknown number of changes within some pre-specified maximum; c) testing for changes in variance (regression coefficients) allowing for a given number of changes in the regression coefficients (variance); d) a sequential procedure to estimate the number of changes present. These testing problems are important for practical applications as witnessed by interests in macroeconomics and finance where documenting structural changes in the variability of shocks to simple autoregressions or Vector Autoregressive Models has been a concern.en_US
dc.relation.ispartofUnpublished Manuscript, Department of Economics, Boston University
dc.subjectChange-pointen_US
dc.subjectVariance shiften_US
dc.subjectConditional heteroskedasticityen_US
dc.subjectLikelihood ratio testsen_US
dc.titleTesting jointly for structural changes in the error variance and coefficients of a linear regression modelen_US
dc.typeArticleen_US
dc.description.versionFirst author draften_US
pubs.elements-sourcemanual-entryen_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
pubs.publication-statusSubmitteden_US
dc.identifier.mycv93331


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