“Tests for Structural Change, Homogeneity, and Aggregation” (joint with Esfandiar Maasoumi &
Mumtaz Ahmed. Economic Modelling Vol 27 no.6 (2010): 1382-1391.
ABSTRACT
Structural change can be considered by breaking up a sample into subsets and asking if these can be aggregated or pooled. Strategies for constructing tests for aggregation and structural change in this setting have not received sufficient attention in the literature. Our methodology for testing generalizes to multiple regimes a discussion of Pesaran et al. (1985) for the case of two regimes. This treatment permits a unified approach to a large number of testing problems discussed separately in the literature, as special cases or as parts of a test of homogeneity. We also provide a simple alternative to much more complex testing strategies currently being researched and developed in testing for structural change.
See also: related paper, which BUILDS on this paper, and provides application to unknown changepoint, based on sup MZ.
On AZ Articles: Detecting Structural Change with Heteroskedasticity
Own Webpage: Detecting Structural Change with Heteroskedasticity, with Haider Gulfam and Mumtaz Ahmed
Mumtaz Ahmed, Gulfam Haider & Asad Zaman (2016): Detecting structural change with heteroskedasticity, Communications in Statistics - Theory and Methods, DOI: 10.1080/03610926.2016.1235200
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