Construct · 1 fields · 1 citations

Andrews sup-F test: a standalone construct

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Econometrics

a test for parameter instability when the break date is unknown, taking the largest test statistic over candidate break points with nonstandard critical values.

In econometrics, Andrews sup-F test refers to a test for parameter instability when the break date is unknown, taking the largest test statistic over candidate break points with nonstandard critical values. This meaning comes from Andrews (1993) in Econometrica.[1]

Unit
Recovery means
Measured by

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Nearby constructs

break2 fields · 4 citationsjingle · one word, two constructs instability3 fields · 3 citationsjingle · one word, three constructs parameter3 fields · 3 citationsjingle · one word, three constructs

References

Andrews, D. W. K. (1993). Tests for Parameter Instability and Structural Change With Unknown Change Point. Econometrica, 61(4), 821. https://doi.org/10.2307/2951764

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