| Description |
1 online resource (27 pages) : illustrations |
| Series |
IMF working paper ; WP/08/75 |
|
IMF working paper ; WP/08/75
|
| 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 |
Print version record |
| Subject |
Econometrics.
|
|
Monte Carlo method.
|
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Time-series analysis.
|
| Form |
Electronic book
|
| Author |
Berg, Andrew, author
|
|
Souto, Marcos Rietti, author
|
|
International Monetary Fund. African Department.
|
| ISBN |
1282391909 |
|
1451913907 |
|
9781282391901 |
|
9781451913903 |
|
