FRINK Linked Data Fragments server

Matches in SemOpenAlex for { <https://semopenalex.org/work/W2573733156> ?p ?o ?g. }

• W2573733156 abstract "Testing for structural change (t-heterogeneity of parameters) is of great interest to researchers both in econometrics and statistics. In this paper we develop an approach to testing the t-invariance of the model parameters, by using the information in the marginal and joint distributions of the stochastic processes involved. The proposed procedure differs from the testing procedures suggested in the literature in two important ways: First, it is designed to detect t-heterogeneity that is a smooth function of time (t) rather than a discrete shift. Second it is based on rolling window estimates of the moments of the variables, rather than the residuals or the coefficients from the regression. Focusing on marginal and joint moments provides a more general perspective because it encompasses changes in the regression coefficients and/or the residual variance. The Maximum Entropy (ME) density Bootstrap of Vinod (2004) is an essential component of our procedure because it provides a reliable resampling algorithm for short nonstationary time series. We carry out a number of Monte Carlo simulations to evaluate the performance of the proposed testing procedure when the t-heterogeneity comes in the form of smooth functions of t, such as the Linear, Quadratic, Exponential and the Logistic. Results show that the testing procedure is effective even for small samples. Furthermore, it clearly distinguishes whether the model t-heterogeneity arises from changes in the mean or variance of the process. While this procedure is designed to capture smooth trends, the experimental results indicate that it can also be successfully applied to testing discrete single breaks." @default.
• W2573733156 created "2017-01-26" @default.
• W2573733156 creator A5049270107 @default.
• W2573733156 creator A5076782658 @default.
• W2573733156 creator A5088668881 @default.
• W2573733156 date "2005-01-01" @default.
• W2573733156 modified "2023-09-23" @default.
• W2573733156 title "Testing for Structural Change: A Misspecification Testing Perspective" @default.
• W2573733156 cites W1491711721 @default.
• W2573733156 cites W1531653575 @default.
• W2573733156 cites W1587980782 @default.
• W2573733156 cites W1971327280 @default.
• W2573733156 cites W1973083259 @default.
• W2573733156 cites W1975153388 @default.
• W2573733156 cites W1984536024 @default.
• W2573733156 cites W1986806499 @default.
• W2573733156 cites W1992110458 @default.
• W2573733156 cites W1998870214 @default.
• W2573733156 cites W2001992115 @default.
• W2573733156 cites W2019986161 @default.
• W2573733156 cites W2025548740 @default.
• W2573733156 cites W2031365995 @default.
• W2573733156 cites W2034489282 @default.
• W2573733156 cites W2036151776 @default.
• W2573733156 cites W2043426410 @default.
• W2573733156 cites W2081475112 @default.
• W2573733156 cites W2086004486 @default.
• W2573733156 cites W2091713210 @default.
• W2573733156 cites W2094069555 @default.
• W2573733156 cites W2095771524 @default.
• W2573733156 cites W2097633087 @default.
• W2573733156 cites W2104267426 @default.
• W2573733156 cites W2108122190 @default.
• W2573733156 cites W2144452471 @default.
• W2573733156 cites W2291502224 @default.
• W2573733156 cites W2331232258 @default.
• W2573733156 cites W3125553690 @default.
• W2573733156 cites W3149350900 @default.
• W2573733156 hasPublicationYear "2005" @default.
• W2573733156 type Work @default.
• W2573733156 sameAs 2573733156 @default.
• W2573733156 citedByCount "0" @default.
• W2573733156 crossrefType "journal-article" @default.
• W2573733156 hasAuthorship W2573733156A5049270107 @default.
• W2573733156 hasAuthorship W2573733156A5076782658 @default.
• W2573733156 hasAuthorship W2573733156A5088668881 @default.
• W2573733156 hasConcept C105795698 @default.
• W2573733156 hasConcept C121955636 @default.
• W2573733156 hasConcept C122123141 @default.
• W2573733156 hasConcept C144133560 @default.
• W2573733156 hasConcept C149782125 @default.
• W2573733156 hasConcept C150921843 @default.
• W2573733156 hasConcept C152877465 @default.
• W2573733156 hasConcept C165216359 @default.
• W2573733156 hasConcept C19499675 @default.
• W2573733156 hasConcept C196083921 @default.
• W2573733156 hasConcept C197656967 @default.
• W2573733156 hasConcept C28826006 @default.
• W2573733156 hasConcept C33923547 @default.
• W2573733156 hasConcept C87007009 @default.
• W2573733156 hasConceptScore W2573733156C105795698 @default.
• W2573733156 hasConceptScore W2573733156C121955636 @default.
• W2573733156 hasConceptScore W2573733156C122123141 @default.
• W2573733156 hasConceptScore W2573733156C144133560 @default.
• W2573733156 hasConceptScore W2573733156C149782125 @default.
• W2573733156 hasConceptScore W2573733156C150921843 @default.
• W2573733156 hasConceptScore W2573733156C152877465 @default.
• W2573733156 hasConceptScore W2573733156C165216359 @default.
• W2573733156 hasConceptScore W2573733156C19499675 @default.
• W2573733156 hasConceptScore W2573733156C196083921 @default.
• W2573733156 hasConceptScore W2573733156C197656967 @default.
• W2573733156 hasConceptScore W2573733156C28826006 @default.
• W2573733156 hasConceptScore W2573733156C33923547 @default.
• W2573733156 hasConceptScore W2573733156C87007009 @default.
• W2573733156 hasLocation W25737331561 @default.
• W2573733156 hasOpenAccess W2573733156 @default.
• W2573733156 hasPrimaryLocation W25737331561 @default.
• W2573733156 hasRelatedWork W1532239233 @default.
• W2573733156 hasRelatedWork W1610044324 @default.
• W2573733156 hasRelatedWork W2000678263 @default.
• W2573733156 hasRelatedWork W2097209031 @default.
• W2573733156 hasRelatedWork W2236209157 @default.
• W2573733156 hasRelatedWork W2516209722 @default.
• W2573733156 hasRelatedWork W2526111360 @default.
• W2573733156 hasRelatedWork W2576206433 @default.
• W2573733156 hasRelatedWork W2604476150 @default.
• W2573733156 hasRelatedWork W2785763383 @default.
• W2573733156 hasRelatedWork W2799230682 @default.
• W2573733156 hasRelatedWork W2897064120 @default.
• W2573733156 hasRelatedWork W2919975862 @default.
• W2573733156 hasRelatedWork W3026544721 @default.
• W2573733156 hasRelatedWork W3088123224 @default.
• W2573733156 hasRelatedWork W3121192803 @default.
• W2573733156 hasRelatedWork W3122530281 @default.
• W2573733156 hasRelatedWork W3198108043 @default.
• W2573733156 hasRelatedWork W3122350818 @default.
• W2573733156 hasRelatedWork W3122391052 @default.
• W2573733156 isParatext "false" @default.
• W2573733156 isRetracted "false" @default.
• W2573733156 magId "2573733156" @default.

• next