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.

Détails

Type de ressource

Journal Article

Série

Peer-Reviewed Publications
Publications à comité de lecture

DOI

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

Titre

Exact Test for Breaks In Covariance In Multivariate Regressions

Créateur

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

Editeur

Elsevier BV

Date de publication

2007-05

Dates pertinentes

Available: 2007-03-23

Publié dans

Economics Letters

Volume

95

Numéro

2

Pages

241 - 246

Langue

Anglais

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.

Codes JEL

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

Référence de la publication

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.

Le document apparaît dans

Recherches de la Banque du Canada > Publications à comité de lecture

Exact Test for Breaks In Covariance In Multivariate Regressions

Description

Détails

Statistiques