A Modified Fluctuation Test for Structural Change

This paper investigates the problem of testing for structural change for diagnostic purposes. We propose a modified form of the fluctuation test of Ploberger .et al. (1989). The modified fluctuation test has the same asymptotic distribution as the fluctuation test but much better finite sample performance. A comparison of the supF test of Andrews (1993) shows that both tests are actually based on the same components.


Issue Date:
Oct 01 1995
Publication Type:
Working or Discussion Paper
Record Identifier:
http://ageconsearch.umn.edu/record/267771
Language:
English
Total Pages:
22
Series Statement:
Working Paper 18/95




 Record created 2018-02-02, last modified 2018-02-03

Fulltext:
Download fulltext
PDF

Rate this document:

Rate this document:
1
2
3
 
(Not yet reviewed)