Robust GMM tests for structural breaks

DOI10.1016/j.jeconom.2004.09.006zbMath1336.62057OpenAlexW3123520831MaRDI QIDQ265111

Patrick Gagliardini, Giovanni Urga, Fabio Trojani

Publication date: 1 April 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://doc.rero.ch/record/6523/files/trojani_JE_2005_2df.pdf

zbMATH Keywords

bootstrapMonte Carlostructural breaksgeneralized method of momentrobust tests

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Point estimation (62F10) Robustness and adaptive procedures (parametric inference) (62F35) Bootstrap, jackknife and other resampling methods (62F40)

Related Items (max. 100)

Modelling structural breaks, long memory and stock market volatility: an overview ⋮ Breakdown point theory for implied probability bootstrap ⋮ Tests for structural break in quantile regressions ⋮ Robustness of Bootstrap in Instrumental Variable Regression ⋮ Detection of structural breaks in linear dynamic panel data models ⋮ A Unified Approach to Structural Change Tests Based on ML Scores,FStatistics, and OLS Residuals ⋮ Parameter instability in quantile regression ⋮ Unnamed Item

Uses Software

• semml

Cites Work

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• On the Asymptotic Distribution of Differentiable Statistical Functions
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• Convergence of stochastic processes
• Robust inference with GMM estimators

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