Exact Test for Breaks In Covariance In Multivariate Regressions

Khalaf, Lynda; Kichian, Maral

doi:10.1016/j.econlet.2006.10.012

Exact Test for Breaks In Covariance In Multivariate Regressions

2007

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Description

Abstract: We propose an exact test for breaks in covariance in multivariate regressions. The test is based on the LR criterion from Anderson ([Anderson, T.W. (1971), The Statistical Analysis of Time Series, John Wiley and Sons, New York.], chapter 10), extended to account for regression covariates and unknown break dates, under general parametric Gaussian and possibly non-Gaussian distributional assumptions.

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Resource Type

Journal Article

Series (Uniform Title)

Peer-Reviewed Publications
Publications à comité de lecture

DOI

https://doi.org/10.1016/j.econlet.2006.10.012

Title

Exact Test for Breaks In Covariance In Multivariate Regressions

Creator

Khalaf, Lynda (Carleton University)
Kichian, Maral (Bank of Canada)

Publisher

Elsevier BV

Date

2007-05

Relevant Dates

Available: 2007-03-23

Published in

Economics Letters

Volume

95

Issue

2

Pages

241 - 246

Language

English

Note

The views expressed in this paper are solely those of the authors and may differ from official Bank of Canada views. No responsibility for them should be attributed to the Bank.

JEL Codes

C12 Hypothesis Testing: General, C15 Statistical Simulation Methods: General, C30 General, C52 Model Evaluation, Validation, and Selection

Publication Citation

Khalaf, L. and M. Kichian. 2007. "Exact Test for Breaks In Covariance In Multivariate Regressions." Economics Letters 95 No. 2. https://doi.org/10.1016/j.econlet.2006.10.012.

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Bank of Canada Research > Peer-Reviewed Publications

Exact Test for Breaks In Covariance In Multivariate Regressions

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