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Record W2025512415 · doi:10.1080/01621459.2013.787184

Heteroscedasticity and Autocorrelation Robust Structural Change Detection

2013· article· en· W2025512415 on OpenAlexaff
Zhou Zhou

Bibliographic record

VenueJournal of the American Statistical Association · 2013
Typearticle
Languageen
FieldEconomics, Econometrics and Finance
TopicComplex Systems and Time Series Analysis
Canadian institutionsUniversity of Toronto
Fundersnot available
KeywordsHeteroscedasticityAutocorrelationSeries (stratigraphy)Monte Carlo methodEconometricsStatistical hypothesis testingComputer scienceSequential analysisMathematicsStatistics

Abstract

fetched live from OpenAlex

The assumption of (weak) stationarity is crucial for the validity of most of the conventional tests of structure change in time series. Under complicated nonstationary temporal dynamics, we argue that traditional testing procedures result in mixed structural change signals of the first and second order and hence could lead to biased testing results. The article proposes a simple and unified bootstrap testing procedure that provides consistent testing results under general forms of smooth and abrupt changes in the temporal dynamics of the time series. Monte Carlo experiments are performed to compare our testing procedure with various traditional tests. Our robust bootstrap test is applied to testing changes in an environmental and a financial time series and our procedure is shown to provide more reliable results than the conventional tests.

Fetched live from OpenAlex and de-inverted. Abstracts are not stored in this database: the inverted indexes are 8.6 GB of the frame’s 9.3 GB of text, and the host has 13 GB free.

How this classification was reachedexpand

Full frame machine prediction

Teacher imitation

Not calibrated prevalence, not ground truth. Human validation pending. The Gemma side is a direct model label for every work in the frame, read from the title-only record. The Codex side is a classifier learned from the 10,348 direct Codex labels and calibrated to design-weighted sample rates; fields without enough sample support carry no Codex call. Candidate is the union of the two sides; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels.

metaresearch head score (Codex)0.010
metaresearch head score (Gemma)0.059
Version: metacan-v3-hybrid-931329e0061cValidation status: machine_predicted_unvalidated
Candidate categoriesnone
Consensus categoriesnone
DomainCandidate signal: none · Consensus signal: none
Study designCandidate signal: Simulation or modeling · Consensus signal: none
GenreCandidate signal: Methods · Consensus signal: Methods
Teacher disagreement score0.010
Threshold uncertainty score0.052

Distilled classifier scores by category (both heads)

CategoryCodexGemma
Metaresearch0.0100.059
Meta-epidemiology (narrow)0.0010.000
Meta-epidemiology (broad)0.0010.001
Bibliometrics0.0010.002
Science and technology studies0.0010.001
Scholarly communication0.0010.001
Open science0.0010.001
Research integrity0.0010.001
Insufficient payload (model declined to judge)0.0020.000

Machine scores (provisional)

The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.

Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.

Opus teacher head0.022
GPT teacher head0.214
Teacher spread0.192 · how far apart the two teachers sit on this one work
Validation statusscore_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from it

Classification

machine, unvalidated

Machine predicted; a candidate call from one source (direct Gemma or distilled Codex), not a consensus.

The models applied no category: nothing in the taxonomy fit this work.
Study designSimulation or modeling
Domainnot available
GenreMethods

How this classification was reached, model by model and score by score, is at the end of the page under "How this classification was reached".

Quick stats

Citations106
Published2013
Admission routes1
Has abstractyes

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