Approximate p-values of predictive tests for structural stability

DOI10.1016/S0165-1765(99)00031-2MaRDI QIDQ1292328zbMATH OpenOpenAlexFDO

Authors Amit Sen

Publication date 21 June 1999

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0165-1765(99)00031-2

zbMATH Keywords

structural stabilityGMMpredictive test

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

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Cites work

• scientific article; zbMATH DE number 3988509 (Why is no real title available?)
• A Test for Structural Stability of Euler Conditions Parameters Estimated Via the Generalized Method of Moments Estimator
• Are consumption-based intertemporal capital asset pricing models structural?
• Automatic Lag Selection in Covariance Matrix Estimation
• Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Large Sample Properties of Generalized Method of Moments Estimators
• Predictive tests for structural change with unknown breakpoint
• Tests for Parameter Instability and Structural Change With Unknown Change Point

Cited in

(2)

• Approximate p-values of certain tests involving hypotheses about multiple breaks
• Another numerical method of finding critical values for the Andrews stability test

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• nlmdl

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