Testing Jointly for Structural Changes in the Error Variance and Coefficients of a Linear Regression Model

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Testing Jointly for Structural Changes in the Error Variance and Coefficients of a Linear Regression Model

Publisher: Hitotsubashi Institute for Advanced Study, Hitotsubashi University

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Note (General)：: Financial support from the National Science Foundation under Grant SES-0649350

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Summary, etc.：: We provide a comprehensive treatment for the problem of testing jointly for structural changes in both the regression coeffcients and the variance of ...

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Material Type: 文書・図像類
Title: Testing Jointly for Structural Changes in the Error Variance and Coefficients of a Linear Regression Model
Author/Editor: Perron, Pierre
山本, 庸平
Zhou, Jing
Author Heading: Perron, Pierre
山本, 庸平
https://nrid.nii.ac.jp/nrid/1000080633916/
Zhou, Jing
Publication, Distribution, etc.: Hitotsubashi Institute for Advanced Study, Hitotsubashi University
Publication Date: 2019-04
Publication Date (W3CDTF): 2019-04
Contributor: Hitotsubashi Institute for Advanced Study, Hitotsubashi University
Text Language Code: eng
Subject Heading: Change-point
Variance shift
Conditional heteroskedasticity
Likelihood ratio tests
Target Audience: 一般
Note (General): Financial support from the National Science Foundation under Grant SES-0649350
Format (IMT): application/pdf
Source: fulltext
https://hermes-ir.lib.hit-u.ac.jp/hermes/ir/re/30295/070_hiasDP-E-85.pdf
Access Restrictions: インターネット公開
Periodical Title: Discussion paper series ; No. HIAS-E-85
Data Provider (Database): 国立情報学研究所 : 学術機関リポジトリデータベース（IRDB）（機関リポジトリ）
https://irdb.nii.ac.jp
Original Data Provider (Database): 一橋大学 : HERMES-IR(一橋大学機関リポジトリ) : Research & Education Resources