Predictive tests for structural change with unknown breakpoint

DOI10.1016/S0304-4076(97)00057-2zbMath0944.62121OpenAlexW2236724795MaRDI QIDQ1377327

Alain Guay, Eric Ghysels, Alastair R. 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)

Related Items

Robust GMM tests for structural breaks ⋮ Detecting at‐Most‐m Changes in Linear Regression Models ⋮ TESTING FOR STRUCTURAL CHANGE IN THE PRESENCE OF AUXILIARY MODELS ⋮ COVARIANCE MATRIX ESTIMATION AND THE LIMITING BEHAVIOR OF THE OVERIDENTIFYING RESTRICTIONS TEST IN THE PRESENCE OF NEGLECTED STRUCTURAL INSTABILITY ⋮ CRITICAL VALUES AND P VALUES OF BESSEL PROCESS DISTRIBUTIONS: COMPUTATION AND APPLICATION TO STRUCTURAL BREAK TESTS ⋮ Testing for Structural Instability in Moment Restriction Models: An Info-Metric Approach ⋮ Sequential testing with uniformly distributed size ⋮ Segmenting mean-nonstationary time series via trending regressions ⋮ NONPARAMETRIC TESTS OF MOMENT CONDITION STABILITY ⋮ Optimal Predictive Tests ⋮ Inference and prediction in a multiple-structural-break model ⋮ OPTIMAL TESTS FOR NESTED MODEL SELECTION WITH UNDERLYING PARAMETER INSTABILITY ⋮ Structural change tests for simulated method of moments. ⋮ Random Walks with Drift – A Sequential Approach ⋮ Approximate \(p\)-values of predictive tests for structural stability ⋮ Structural breaks in time series ⋮ Structural change tests for GEL criteria ⋮ External bootstrap tests for parameter stability. ⋮ Approximate p-Values of Certain Tests Involving Hypotheses About Multiple Breaks

Cites Work

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