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The finite-sample properties of bootstrap tests in multiple structural change models
Journal article   Peer reviewed

The finite-sample properties of bootstrap tests in multiple structural change models

Jamel Jouini and Mohamed Boutahar
Economics bulletin, Vol.30(1), pp.55-66
01/01/2010

Abstract

Business & Economics Economics Social Sciences
We propose bootstrap methods to approximate the distributions of test statistics for multiple structural breaks. The major advantage of these methods is that they allow freeing us from the constraints imposed by the asymptotic theory on parameters of the model. We also find that the asymptotic critical values lead to serious size distortions while, on the contrary, the bootstrap procedure leads to remarkably reliable tests in dynamic models.

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