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Pré-publication, Document de travail Année : 2006

Bootstrap Tests in Bivariate VAR Process with Single Structural Change : Power versus Corrected Size and Empirical Illustration

Résumé

This paper evaluates the finite-sample performance of single structural change tests based on
the asymptotic distribution and bootstrap procedures. In addition to the conventional case of stationary
regressors, we consider nonstationary regressors and others characterized by the presence of a break in
their structure. While our paper borrows the idea of assessing the performance of structural break tests
from an other paper, ours is the first to examine and compare the power of such tests on the basis of
corrected size by using graphical methods. We endeavour to see whether some conclusions, obtained
for some tests, remain again valid for others based on an other type of processes. Some bootstrap
procedures quasi-perfectly correct the size distortions of their asymptotic counterparts and have the
same power performance as them on the corrected size basis; property often difficult to obtain. We finally propose a modelling strategy to study the relationship between U.S. interest rates. The results show that such relationship has been altered by a regime-shift located at the beginning of the 1980s.
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Dates et versions

halshs-00410759, version 1 (24-08-2009)

Identifiants

  • HAL Id : halshs-00410759 , version 1

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Jamel Jouini. Bootstrap Tests in Bivariate VAR Process with Single Structural Change : Power versus Corrected Size and Empirical Illustration. 2006. ⟨halshs-00410759⟩
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