Permutation Tests for Structural Change
The supLM test for structural change is embedded into a permutation test framework for a simple location model. The resulting conditional permutation distribution is compared to the usual (unconditional) asymptotic distribution, showing that the power of the test can be clearly improved in small sam...
| Main Authors: | , |
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| Format: | Others |
| Language: | en |
| Published: |
Department of Statistics and Mathematics, WU Vienna University of Economics and Business
2006
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| Subjects: | |
| Online Access: | http://epub.wu.ac.at/1182/1/document.pdf |