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A Modified Fluctuation Test for Structural Change
journal contributionposted on 2017-06-08, 02:22 authored by Hao, Kang, Inder, Brett A.
This paper investigates the problem of testing for structural change for diagnostic purposes. We propose a modified form of the fluctuation test of Ploberger et al. (1989). The modified fluctuation test has the same asymptotic distribution as the fluctuation test but much better finite sample performance. A comparison of the supF test of Andrews (1993) shows that both tests are actually based on the same components.