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Predictive tests for structural change with unknown breakpoint · Study

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ArticlePredictive tests for structural change with unknown breakpoint

Éric Ghysels1998

Article1998

Predictive tests for structural change with unknown breakpoint

Éric Ghysels · Alain Guay · Alastair R. Hall

86 citations·0/0 files stored·Journal of Econometrics

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Monetary Policy and Economic Impact Advanced Statistical Methods and Models Statistical and numerical algorithms

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References

1993Tests for Parameter Instability and Structural Change With Unknown Change Point 1991Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: An Empirical Analysis 1992An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator 1988Testing for Structural Change in Dynamic Models 1996Optimal Tests for Parameter Instability in the Generalized Method of Moments Framework

Cited by

2006The Adaptive Markets Hypothesis: Evidence from the Foreign Exchange Market 2009Structural Breaks in Financial Time Series 2008Learning, forecasting and structural breaks 1996If Nonlinear Models Cannot Forecast, What Use Are They?2007A Comparison of Measures of Core Inflation 1999Structural Stability Testing in Models Estimated by Generalized Method of Moments 1999Are "Deep" Parameters Stable? The Lucas Critique as an Empirical Hypothesis 2006Changes in the dynamic behavior of emerging market volatility: Revisiting the effects of financial liberalization

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Details

Year1998

Typearticle

Published1998-02-01

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations86

Files0 public / 0

ShelfMonetary Policy and Economic Impact

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doi10.1016/s0304-4076(97)00057-2

openalex_workW2111034094

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