Testing for Structural Breaks in Small Samples /
In a recent paper, Bai and Perron (2006) demonstrate that their approach for testing for multiple structural breaks in time series works well in large samples, but they found substantial deviations in both the size and power of their tests in smaller samples. We propose modifying their methodology t...
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| Drugi avtorji: | , |
| Format: | Revija |
| Jezik: | English |
| Izdano: |
Washington, D.C. :
International Monetary Fund,
2008.
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| Serija: | IMF Working Papers; Working Paper ;
No. 2008/075 |
| Teme: | |
| Online dostop: | Full text available on IMF |