Tests for Parameter Instability and Structural Change With Unknown Change Point

DOI10.2307/2951764zbMath0795.62012OpenAlexW2144452471MaRDI QIDQ3142741

Donald W. K. Andrews

Publication date: 15 September 1994

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/77c986937d205592a007df3661778a5ed4fc4e38

zbMATH Keywords

weak convergencelikelihood ratio testBessel processBrownian motionBrownian bridgeWald testgeneralized method of moments estimatorstructural changetables of critical valueschange pointLagrange multiplier testasymptotic null distributionsasymptotic local power optimality propertiestests for parameter instability

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Parametric hypothesis testing (62F03) Central limit and other weak theorems (60F05) Asymptotic properties of parametric tests (62F05)

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