| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5062591 | Economics Letters | 2007 | 6 Pages |
Abstract
We propose an exact test for breaks in covariance in multivariate regressions. The test is based on the LR criterion from Anderson ([Anderson, T.W. (1971), The Statistical Analysis of Time Series, John Wiley and Sons, New York.], chapter 10), extended to account for regression covariates and unknown break dates, under general parametric Gaussian and possibly non-Gaussian distributional assumptions.
Keywords
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Lynda Khalaf, Maral Kichian,