Optimal Tests for Parameter Instability in the Generalized Method of Moments Framework

DOI10.2307/2171957zbMath0859.62060MaRDI QIDQ4895057

Fallaw B. Sowell

Publication date: 9 April 1997

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/2171957

zbMATH Keywords

stochastic differential equation; Brownian motion; generalized method of moments; Brownian bridge; normal distribution; Radon-Nikodym derivative; Neyman-Pearson lemma; optimal tests; parameter instability; multivariate invariance principle

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62E20: Asymptotic distribution theory in statistics

62H15: Hypothesis testing in multivariate analysis

62M07: Non-Markovian processes: hypothesis testing

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