References

Andrews, Donald W. K. (1993). “Tests for Parameter Instability and Structural Change With Unknown Change Point,” Econometrica, 61(4), 821–856.

Andrews, Donald W. K. and W. Ploberger (1994). “Optimal Tests When a Nuisance Parameter is Present Only Under the Alternative,” Econometrica, 62(6), 1383–1414.

Bai, Jushan (1997). “Estimating Multiple Breaks One at a Time,” Econometric Theory, 13, 315–352.

Bai, Jushan and Pierre Perron (1998). “Estimating and Testing Linear Models with Multiple Structural Changes,” Econometrica, 66, 47–78.

Bai, Jushan and Pierre Perron (2003a). “Computation and Analysis of Multiple Structural Change Models,” Journal of Applied Econometrics, 6, 72–78.

Bai, Jushan and Pierre Perron (2003b). “Critical Values for Multiple Structural Change Tests,” Econometrics Journal, 18, 1–22.

Breusch, T. S., and A. R. Pagan (1979). “A Simple Test for Heteroskedasticity and Random Coefficient Variation,” Econometrica, 48, 1287–1294.

Brown, R. L., J. Durbin, and J. M. Evans (1975). “Techniques for Testing the Constancy of Regression Relationships Over Time,” Journal of the Royal Statistical Society, Series B, 37, 149–192.

Davidson, Russell and James G. MacKinnon (1989). “Testing for Consistency using Artificial Regressions,” Econometric Theory, 5, 363–384.

Davidson, Russell and James G. MacKinnon (1993). Estimation and Inference in Econometrics, Oxford: Oxford University Press.

Engle, Robert F. (1982). “Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of U.K. Inflation,” Econometrica, 50, 987–1008.

Garcia, Rene and Pierre Perron (1996). “An Analysis of the Real Interest Rate Under Regime Shifts,” The Review of Economics and Statistics, 78, 111–125.

Glejser, H. (1969). “A New Test For Heteroscedasticity,” Journal of the American Statistical Association, 64, 316–323.

Godfrey, L. G. (1978). “Testing for Multiplicative Heteroscedasticity,” Journal of Econometrics, 8, 227–236.

Godfrey, L. G. (1988). Specification Tests in Econometrics, Cambridge: Cambridge University Press.

Hansen, B. E. (1997). “Approximate Asymptotic P Values for Structural-Change Tests,” Journal of Business and Economic Statistics, 15(1), 60–67.

Harvey, Andrew C. (1976). “Estimating Regression Models with Multiplicative Heteroscedasticity,” Econometrica, 44, 461–465.

Hausman, Jerry A. (1978). “Specification Tests in Econometrics,” Econometrica, 46, 1251–1272.

Johnston, Jack and John Enrico DiNardo (1997). Econometric Methods, 4th Edition, New York: McGraw-Hill.

Koenker, R. (1981). “A Note on Studentizing a Test for Heteroskedasticity,” Journal of Econometrics, 17, 107–112.

Liu, Jian, Wu, Shiying, and James V. Zidek (1997). “On Segmented Multivariate Regression,” Statistica Sinica, 7, 497–525.

Longley, J. W. “An Appraisal of Least Squares Programs for the Electronic Computer from the Point of View of the User,” Journal of the American Statistical Association, 62(319), 819-841.

Perron, Pierre (2006). “Dealing with Structural Breaks,” in Palgrave Handbook of Econometrics, Vol. 1: Econometric Theory, T. C. Mills and K. Patterson (eds.). New York: Palgrave Macmillan.

Ramsey, J. B. (1969). “Tests for Specification Errors in Classical Linear Least Squares Regression Analysis,” Journal of the Royal Statistical Society, Series B, 31, 350–371.

Ramsey, J. B. and A. Alexander (1984). “The Econometric Approach to Business-Cycle Analysis Reconsidered,” Journal of Macroeconomics, 6, 347–356.

White, Halbert (1980).“A Heteroskedasticity-Consistent Covariance Matrix and a Direct Test for Heteroskedasticity,” Econometrica, 48, 817–838.

Wooldridge, Jeffrey M. (1990). “A Note on the Lagrange Multiplier and F-statistics for Two Stage Least Squares Regression,” Economics Letters, 34, 151-155.

Wooldridge, Jeffrey M. (2000). Introductory Econometrics: A Modern Approach. Cincinnati, OH: South-Western College Publishing.

Yao, Yi-Ching (1988). “Estimating the Number of Change-points via Schwarz’ Criterion,” Statistics & Probability Letters, 6, 181–189.