Predictive tests for structural change with unknown breakpoint

DOI10.1016/S0304-4076(97)00057-2MaRDI QIDQ1377327zbMATH OpenOpenAlexFDO

Authors Eric Ghysels, Alain Guay, Alastair Hall

Publication date 24 September 2000

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0304-4076(97)00057-2

zbMATH Keywords

tablesgeneralized method of momentsnonlinear modelsparameter variationoveridentifying restrictionsstructural stability testing

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20) Asymptotic properties of parametric tests (62F05)

Recommendations

• Tests for Parameter Instability and Structural Change With Unknown Change Point
• Generalized Predictive Tests and Structural Change Analysis in Econometrics
• Optimal Predictive Tests

Cites work

• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• A Test for Structural Stability of Euler Conditions Parameters Estimated Via the Generalized Method of Moments Estimator
• Admissibility of the likelihood ratio test when a nuisance parameter is present only under the alternative
• An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
• Are consumption-based intertemporal capital asset pricing models structural?
• Inference in Nonlinear Econometric Models with Structural Change
• Large Sample Properties of Generalized Method of Moments Estimators
• Optimal Tests for Parameter Instability in the Generalized Method of Moments Framework
• Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
• Testing for Structural Change in Dynamic Models
• Tests for Parameter Instability and Structural Change With Unknown Change Point

Cited in

(24)

• Inference and prediction in a multiple-structural-break model
• Consistent testing for structural change at the ends of the sample
• Approximate p-values of certain tests involving hypotheses about multiple breaks
• Structural change tests for simulated method of moments.
• Detecting at-most-\(\mathfrak{m}\) changes in linear regression models
• Random Walks with Drift – A Sequential Approach
• Nonparametric tests of moment condition stability
• Generalized Predictive Tests and Structural Change Analysis in Econometrics
• Tests for Parameter Instability and Structural Change With Unknown Change Point
• TESTING FOR STRUCTURAL CHANGE IN THE PRESENCE OF AUXILIARY MODELS
• Structural change tests for GEL criteria
• Optimal Predictive Tests
• Approximate \(p\)-values of predictive tests for structural stability
• External bootstrap tests for parameter stability.
• Testing for a break at an unknown change-point: A test with known size in small samples
• Segmenting mean-nonstationary time series via trending regressions
• The power of tests of predictive ability in the presence of structural breaks
• OPTIMAL TESTS FOR NESTED MODEL SELECTION WITH UNDERLYING PARAMETER INSTABILITY
• Covariance matrix estimation and the limiting behavior of the overidentifying restrictions test in the presence of neglected structural instability
• Robust GMM tests for structural breaks
• Structural breaks in time series
• Sequential testing with uniformly distributed size
• Testing for structural instability in moment restriction models: an info-metric approach
• Critical values and \(p\) values of Bessel process distributions: computation and application to structural break tests

This page was built for publication: Predictive tests for structural change with unknown breakpoint

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1377327)