Browsing Τμήμα Οικονομικών / Department of Economics by Author "Alaa, Α.Μ."
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Article
Structural breaks tests robust to regression misspecification
Alaa, Α.Μ.; Andreou, Elena; Boldea, O. (2018)Structural break tests for regression models are sensitive to model misspecification. We show—analytically and through simulations—that the sup Wald test for breaks in the conditional mean and variance of a time series ...