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| Jamel JOUINI and Mohamed Boutahar |
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| ''The finite-sample properties of bootstrap tests in multiple structural change models'' |
| ( 2010, Vol. 30 No.1 ) |
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| We propose bootstrap methods to approximate the distributions of test statistics for multiple structural breaks. The major advantage of these methods is that they allow freeing us from the constraints imposed by the asymptotic theory on parameters of the model. We also find that the asymptotic critical values lead to serious size distortions while, on the contrary, the bootstrap procedure leads to remarkably reliable tests in dynamic models. |
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| Keywords: Structural change, bootstrap tests, size properties |
JEL: C2 - Single Equation Models; Single Variables: General
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| Manuscript Received : Jul 30 2009 | | Manuscript Accepted : Jan 06 2010 |
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