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...
| Hlavní autor: | |
|---|---|
| Další autoři: | , |
| Médium: | Časopis |
| Jazyk: | English |
| Vydáno: |
Washington, D.C. :
International Monetary Fund,
2008.
|
| Edice: | IMF Working Papers; Working Paper ;
No. 2008/075 |
| Témata: | |
| On-line přístup: | Full text available on IMF |