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Identifier to cite or link to this item: https://hdl.handle.net/10086/30295

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Title
Testing Jointly for Structural Changes in the Error Variance and Coefficients of a Linear Regression Model
Creator
Creator Name
Perron, Pierre Perron, Pierre
Affiliation
Affiliation Name
Boston University
Creator Name
Yamamoto, Yohei Yamamoto, Yohei
山本, 庸平 山本, 庸平
Affiliation
Affiliation Name
Hitotsubashi University
Creator Name
Zhou, Jing Zhou, Jing
Affiliation
Affiliation Name
Seeking Sense Investment Management Co. Ltd.
Editor
Contributor Name
Hitotsubashi Institute for Advanced Study, Hitotsubashi University
Key Word
Change-point
Variance shift
Conditional heteroskedasticity
Likelihood ratio tests
JEL
C22
Abstract
We provide a comprehensive treatment for the problem of testing jointly for structural changes in both the regression coeffcients 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 coeffcients 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 coeffcients) allowing for a given number of changes in the regression coeffcients (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.
Publisher
Hitotsubashi Institute for Advanced Study, Hitotsubashi University
Issued Date
2019-04
Language
English(eng)
Resource Type
technical report
Version Type
VoR
Is Part OfRelation -
Related Title
Discussion paper series ; No. HIAS-E-85
Number of Pages
25
Sponsorship
Financial support from the National Science Foundation under Grant SES-0649350
Appears in Collections
Discussion paper series / Hitotsubashi Institute for Advanced Study, Hitotsubashi University
URL
https://hdl.handle.net/10086/30295