Testing for Structural Breaks in Small Samples /

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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Bibliografiske detaljer
Hovedforfatter:	Antoshin, Sergei
Andre forfattere:	Berg, Andrew, Souto, Marcos
Format:	Tidsskrift
Sprog:	English
Udgivet:	Washington, D.C. : International Monetary Fund, 2008.
Serier:	IMF Working Papers; Working Paper ; No. 2008/075
Fag:	Autocorrelation Coefficient Prob K Sample Size Serial Correlation WP
Online adgang:	Full text available on IMF

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