| Description |
1 online resource (27 pages) : illustrations |
| Series |
IMF working paper, 2227-8885 ; WP/08/75 |
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IMF working paper ; WP/08/75.
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| Contents |
I. Introduction; II. The BP Methodology; III. A Modified BP Methodology for Small Samples; IV. Results; V. Summary and Conclusion; References; References; Appendixes; Appendix; Tables; 1. Size Tests-Weiner DGP with No Breaks; 2. Size Tests with Autocorrelated DGP with No Breaks and Parametric Estimation; 3. Size Tests with Autocorrelated DGP with No Breaks and Standard Errors Robust to Serial Correlation; 4. Size Tests with DGP with No Breaks and Over- and Under-Specification of Degree of Autocorrelation; 5. Power Tests |
| Summary |
In a recent paper, Bai and Perron (2006) demonstrate that their approach for testing for multiple structural breaks in time series works well in large samples, but they found substantial deviations in both the size and power of their tests in smaller samples. We propose modifying their methodology to deal with small samples by using Monte Carlo simulations to determine sample-specific critical values under the null each time the test is run. We draw on the results of our simulations to offer practical suggestions on handling serial correlation, model misspecification, and the use of alternative test statistics for sequential testing. We show that, for most types of data generating processes in samples with as low as 50 observations, our proposed modifications perform substantially better |
| Bibliography |
Includes bibliographical references (pages 16-17) |
| Notes |
Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002. http://purl.oclc.org/DLF/benchrepro0212 MiAaHDL |
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digitized 2010 HathiTrust Digital Library committed to preserve pda MiAaHDL |
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Print version record |
| Subject |
Econometrics.
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Time-series analysis.
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Monte Carlo method.
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Monte Carlo Method
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Econometrics
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Monte Carlo method
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Time-series analysis
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| Form |
Electronic book
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| Author |
Berg, Andrew, author.
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Souto, Marcos Rietti, author.
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International Monetary Fund. African Department
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| ISBN |
1282391909 |
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9781282391901 |
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9781451913903 |
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1451913907 |
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