Type

Report

Authors

Karl Whelan

Subjects

Mathematics

Topics
stability bootstrap statistics structural change poor performance time series structural breaks asymptotic distribution probability theory testing

Testing parameter stability : a wild bootstrap approach (2005)

Abstract Unknown-breakpoint tests for possible structural change have become standard in recent years, with the most popular being the so-called Sup-F tests, whose asymptoticdistribution was derived by Andrews (1993). We highlight two problems that lead to poor performance when testing for structural breaks in dynamic time series models using the Andrews critical values: High persistence of explanatory variables and heteroskedasticity. We propose a so-called "wild bootstrap" approach to generating critical values for the Sup-F statistic and report that this approach performs well across a wide variety of possible data generating processes, including those with large coeffients onlagged dependent variables and heteroskedasticity.
Collections Ireland -> University College Dublin -> School of Economics
Ireland -> University College Dublin -> College of Social Sciences and Law
Ireland -> University College Dublin -> Economics Research Collection

Full list of authors on original publication

Karl Whelan

Experts in our system

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Karl Whelan
University College Dublin
Total Publications: 69