کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
7349812 1476602 2017 5 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
On testing for structural break of coefficients in factor-augmented regression models
ترجمه فارسی عنوان
برای تست شکست ساختاری ضرایب در مدل رگرسیون فاکتور تقویت شده
کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
چکیده انگلیسی
This paper considers testing for structural break of factor-augmented regression models with unknown change point. In this case, the classical structural break tests proposed by Andrews (1993) and Andrews and Ploberger (1994) are infeasible due to the presence of unobservable factors. This paper develops the feasible two-step tests based on their structural break tests. We prove that the asymptotic null distributions of the proposed two-step tests remain to be the same as those of their infeasible tests. The Monte Carlo simulations confirm the theoretical results and show that the two-step tests perform well in finite sample.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Economics Letters - Volume 161, December 2017, Pages 141-145
نویسندگان
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