Parametric and semi-parametric efficient tests for parameter instability

DOI10.1111/JTSA.12169MaRDI QIDQ2815046zbMATH OpenOpenAlexFDO

Authors Dong Jin Lee

Publication date 27 June 2016

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://media.economics.uconn.edu/working/2008-40r.pdf

zbMATH Keywords

adaptive testasymptotic optimal testparameter instabilitysemiparametric power envelopestructural break

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• A note on the construction of asymptotically linear estimators
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• Consistent estimation of the influence function of locally asymptotically linear estimators
• Efficient detection of random coefficients in autoregressive models
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• Efficient estimation in semiparametric GARCH models
• Efficient estimation of the parameter path in unstable time series models
• Efficient Tests for General Persistent Time Variation in Regression Coefficients
• Inference in a nearly integrated autoregressive model with nonnormal innovations
• On adaptive estimation
• On adaptive estimation in nonstationary ARMA models with GARCH errors
• On Large-Sample Estimation and Testing in Parametric Models
• Optimal changepoint tests for normal linear regression
• Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
• Sample splitting with Markov chains
• Semiparametric Power Envelopes for Tests of the Unit Root Hypothesis
• Stochastic Limit Theory
• Testing for structural change in conditional models
• Testing for the Constancy of Parameters Over Time
• Tests for Parameter Instability and Structural Change With Unknown Change Point
• Tests of Statistical Hypotheses Concerning Several Parameters When the Number of Observations is Large

Cited in

(5)

• Test for partial parameter instability in regressions with \(I(1)\) processes
• Testing for parameter instability in predictive regression models
• Tests for Parameter Instability and Structural Change With Unknown Change Point
• OPTIMAL TESTS FOR NESTED MODEL SELECTION WITH UNDERLYING PARAMETER INSTABILITY
• Optimal Tests for Parameter Instability in the Generalized Method of Moments Framework

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