Testing for Breaks Using Alternating Observations

This paper proposes several new tests for structural change in the multivariate linear regression model. The current state of the art is Sup-Wald type tests along the lines of Bai, Lumsdaine and Stock (1998), which Bernard et al (2007) show to have very large size distortions, especially for high dimensional systems. They propose the use of Monte Carlo type… (More)