Structural change tests for GEL criteria (Q5860890)

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scientific article; zbMATH DE number 7484398

Language	Label	Description	Also known as
English	Structural change tests for GEL criteria	scientific article; zbMATH DE number 7484398

Statements

scholarly article

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Structural change tests for GEL criteria (English)

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Jean-François Lamarche

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Econometric Reviews

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publication date

4 March 2022

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full work available at URL

http://hdl.handle.net/10419/234761

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zbMATH Keywords

generalized empirical likelihood

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generalized method of moments

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parameter instability

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weak identification

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structural change

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MaRDI profile type

MaRDI publication profile

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GMM, GEL, Serial Correlation, and Asymptotic Bias

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Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation

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Tests for Parameter Instability and Structural Change With Unknown Change Point

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Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative

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Boundedly pivotal structural change tests in continuous updating GMM with strong, weak identification and completely unidentified cases

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Predictive tests for structural change with unknown breakpoint

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Optimal Predictive Tests

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STRUCTURAL CHANGE TESTS BASED ON IMPLIED PROBABILITIES FOR GEL CRITERIA

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GENERALIZED EMPIRICAL LIKELIHOOD ESTIMATORS AND TESTS UNDER PARTIAL, WEAK, AND STRONG IDENTIFICATION

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Generalized empirical likelihood tests in time series models with potential identification failure

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Finite Sample Evidence Suggesting a Heavy Tail Problem of the Generalized Empirical Likelihood Estimator

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Testing for Structural Instability in Moment Restriction Models: An Info-Metric Approach

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Information Theoretic Approaches to Inference in Moment Condition Models

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Testing for weak identification in possibly nonlinear models

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An Information-Theoretic Alternative to Generalized Method of Moments Estimation

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Testing Parameters in GMM Without Assuming that They Are Identified

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Higher Order Properties of Gmm and Generalized Empirical Likelihood Estimators

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GENERALIZED EMPIRICAL LIKELIHOOD INFERENCE FOR NONLINEAR AND TIME SERIES MODELS UNDER WEAK IDENTIFICATION

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Convergence of stochastic processes

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Empirical likelihood and general estimating equations

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Point estimation with exponentially tilted empirical likelihood

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GEL CRITERIA FOR MOMENT CONDITION MODELS

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Applications of Differential Geometry to Econometrics

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

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GMM with Weak Identification

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Quadrature-Based Methods for Obtaining Approximate Solutions to Nonlinear Asset Pricing Models

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DETECTING LACK OF IDENTIFICATION IN GMM

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Identifiers

zbMATH Open document ID

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10.1080/00927872.2016.1178893

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Mathematics Subject Classification ID

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zbMATH DE Number

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Sitelinks

Mathematics(1 entry)

mardi Publication:5860890

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