Optimal Predictive Tests

DOI10.1081/ETC-120025896MaRDI QIDQ4434415zbMATH OpenFDO

Authors Alain Guay

Publication date 6 November 2003

Published in Econometric Reviews (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1081/ETC-120025896

zbMATH Keywords

tablesgeneralized method of momentssimulations

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Point estimation (62F10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Probabilistic models, generic numerical methods in probability and statistics (65C20)

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Cites work

• A Test for Structural Stability of Euler Conditions Parameters Estimated Via the Generalized Method of Moments Estimator
• An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
• Automatic Lag Selection in Covariance Matrix Estimation
• Convergence of stochastic processes
• Covariance Matrix Estimation and the Power of the Overidentifying Restrictions Test
• Optimal Tests for Parameter Instability in the Generalized Method of Moments Framework
• Predictive tests for structural change with unknown breakpoint

Cited in

(6)

• TESTING FOR STRUCTURAL CHANGE IN THE PRESENCE OF AUXILIARY MODELS
• Generalized Predictive Tests and Structural Change Analysis in Econometrics
• Structural change tests for GEL criteria
• Structural change tests for simulated method of moments.
• Structural change tests based on implied probabilities for gel criteria
• OPTIMAL TESTS FOR NESTED MODEL SELECTION WITH UNDERLYING PARAMETER INSTABILITY

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