• Title of article

    Exact test for breaks in covariance in multivariate regressions

  • Author/Authors

    Lynda Khalaf، نويسنده , , Maral Kichian، نويسنده ,

  • Issue Information
    روزنامه با شماره پیاپی سال 2007
  • Pages
    6
  • From page
    241
  • To page
    246
  • 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
  • Keywords
    Exact test , Monte Carlo test , Heteroskedasticity , Structural Change , multivariate regression
  • Journal title
    Economics Letters
  • Serial Year
    2007
  • Journal title
    Economics Letters
  • Record number

    436219

    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=10&DC=436219