Optimal Tests for Parameter Instability in the Generalized Method of Moments Framework (Q4895057)
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scientific article; zbMATH DE number 934151
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| English | Optimal Tests for Parameter Instability in the Generalized Method of Moments Framework |
scientific article; zbMATH DE number 934151 |
Statements
Optimal Tests for Parameter Instability in the Generalized Method of Moments Framework (English)
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9 April 1997
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Brownian motion
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Brownian bridge
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stochastic differential equation
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Neyman-Pearson lemma
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Radon-Nikodym derivative
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generalized method of moments
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multivariate invariance principle
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parameter instability
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optimal tests
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normal distribution
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0.8093969821929932
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0.7996924519538879
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0.7964629530906677
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0.789828896522522
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