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A toolbox of permutation tests for structural change

机译:结构变更的排列测试工具箱

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The supLM test for structural change is embedded into a permutation test framework for a simple location model. The resulting conditional permutation distribution is compared to the usual (unconditional) asymptotic distribution, showing that the power of the test can be clearly improved in small samples. Furthermore, the permutation test is embedded into a general framework that encompasses tools for binary and multivariate dependent variables as well as model-based permutation testing for structural change. It is also demonstrated that the methods can not only be employed for analyzing structural changes in time series data but also for recursive partitioning of cross-section data. The procedures suggested are illustrated using both artificial data and empirical applications (number of youth homicides, employment discrimination data, carbon flux in tropical forests, stock returns, and demand for economics journals).
机译:用于结构更改的supLM测试嵌入到用于简单位置模型的置换测试框架中。将所得的条件置换分布与常规(无条件)渐近分布进行比较,表明可以在小样本中明显提高测试的功效。此外,置换测试被嵌入到一个通用框架中,该框架包含用于二元和多元因变量的工具以及用于结构变化的基于模型的置换测试。还证明了该方法不仅可以用于分析时间序列数据的结构变化,而且可以用于横截面数据的递归划分。使用人工数据和经验应用(青年凶杀案数量,就业歧视数据,热带森林中的碳通量,存量收益和对经济期刊的需求)说明了建议的程序。

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