摘要翻译：
本文讨论的问题是一个多元系统方程之间或方程内的公共破口的检验问题。我们的框架是非常通用的，允许集成回归和趋势以及平稳回归。无效假设是，不同参数的突变发生在共同的位置，并被样本大小的某个正分数所分开，除非它们发生在不同的方程中。在另一种假设下，跨参数的断裂日期是不相同的，也不需要被样本大小的正分数分开，无论是在方程内还是在方程之间。所考虑的检验是假定正态误差的拟似然比检验，尽管像往常一样，检验的极限分布对于非正态误差仍然有效。我们给出了当在所有可能的分区上搜索时估计的收敛速度的结果，条件是每个区域至少包含与样本大小的正分数一样多的观测值，允许中断日期不被样本大小的正分数分开。仿真结果表明，该方法具有良好的有限样本特性。我们还提供了一个应用于与水平移动和通货膨胀的各种度量的持久性有关的问题来说明它的有用性。
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英文标题：
《Testing for Common Breaks in a Multiple Equations System》
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作者：
Tatsushi Oka and Pierre Perron
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最新提交年份：
2018
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分类信息：

一级分类：Mathematics        数学
二级分类：Statistics Theory        统计理论
分类描述：Applied, computational and theoretical statistics: e.g. statistical inference, regression, time series, multivariate analysis, data analysis, Markov chain Monte Carlo, design of experiments, case studies
应用统计、计算统计和理论统计：例如统计推断、回归、时间序列、多元分析、数据分析、马尔可夫链蒙特卡罗、实验设计、案例研究
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一级分类：Economics        经济学
二级分类：Econometrics        计量经济学
分类描述：Econometric Theory, Micro-Econometrics, Macro-Econometrics, Empirical Content of Economic Relations discovered via New Methods, Methodological Aspects of the Application of Statistical Inference to Economic Data.
计量经济学理论，微观计量经济学，宏观计量经济学，通过新方法发现的经济关系的实证内容，统计推论应用于经济数据的方法论方面。
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一级分类：Quantitative Finance        数量金融学
二级分类：Statistical Finance        统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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一级分类：Statistics        统计学
二级分类：Methodology        方法论
分类描述：Design, Surveys, Model Selection, Multiple Testing, Multivariate Methods, Signal and Image Processing, Time Series, Smoothing, Spatial Statistics, Survival Analysis, Nonparametric and Semiparametric Methods
设计，调查，模型选择，多重检验，多元方法，信号和图像处理，时间序列，平滑，空间统计，生存分析，非参数和半参数方法
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一级分类：Statistics        统计学
二级分类：Statistics Theory        统计理论
分类描述：stat.TH is an alias for math.ST. Asymptotics, Bayesian Inference, Decision Theory, Estimation, Foundations, Inference, Testing.
Stat.Th是Math.St的别名。渐近，贝叶斯推论，决策理论，估计，基础，推论，检验。
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英文摘要：
  The issue addressed in this paper is that of testing for common breaks across or within equations of a multivariate system. Our framework is very general and allows integrated regressors and trends as well as stationary regressors. The null hypothesis is that breaks in different parameters occur at common locations and are separated by some positive fraction of the sample size unless they occur across different equations. Under the alternative hypothesis, the break dates across parameters are not the same and also need not be separated by a positive fraction of the sample size whether within or across equations. The test considered is the quasi-likelihood ratio test assuming normal errors, though as usual the limit distribution of the test remains valid with non-normal errors. Of independent interest, we provide results about the rate of convergence of the estimates when searching over all possible partitions subject only to the requirement that each regime contains at least as many observations as some positive fraction of the sample size, allowing break dates not separated by a positive fraction of the sample size across equations. Simulations show that the test has good finite sample properties. We also provide an application to issues related to level shifts and persistence for various measures of inflation to illustrate its usefulness.
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PDF链接：
https://arxiv.org/pdf/1606.00092