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Structural Change Tests in Tail Behaviour and the Asian Crisis

✍ Scribed by Quintos, Carmela; Fan, Zhenhong; Philips, Peter C. B.


Book ID
108533953
Publisher
John Wiley and Sons
Year
2001
Tongue
English
Weight
265 KB
Volume
68
Category
Article
ISSN
0034-6527

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## Abstract The power of Chow, linear, predictive failure and cusum of squares tests to detect structural change is compared in a two‐variable random walk model and a once‐for‐all parameter shift model. In each case the linear test has greatest power, followed by the Chow test. It is suggested that