Approximate p-values of predictive tests for structural stability

DOI10.1016/S0165-1765(99)00031-2zbMATH Open1009.62595OpenAlexW2038490951MaRDI QIDQ1292328FDOQ1292328

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

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zbMATH Keywords

structural stabilityGMMpredictive test

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites Work

• Large Sample Properties of Generalized Method of Moments Estimators
• Title not available (Why is that?)
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Tests for Parameter Instability and Structural Change With Unknown Change Point
• Automatic Lag Selection in Covariance Matrix Estimation
• Predictive tests for structural change with unknown breakpoint
• 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?
• Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models

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

Uses Software

• nlmdl

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