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Book Cover
Author Antoshin, Sergei, author

Title Testing for structural breaks in small samples / prepared by Sergei Antoshin, Andrew Berg, and Marcos Souto
Published [Washington, D.C.?] : International Monetary Fund, [2008]
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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.
Time-series analysis.
Form Electronic book
Author Berg, Andrew, author
Souto, Marcos Rietti, author
International Monetary Fund. African Department.
ISBN 1282391909