Robust GMM tests for structural breaks
DOI10.1016/J.JECONOM.2004.09.006zbMATH Open1336.62057OpenAlexW3123520831MaRDI QIDQ265111FDOQ265111
Authors: Patrick Gagliardini, Fabio Trojani, Giovanni Urga 
Publication date: 1 April 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://doc.rero.ch/record/6523/files/trojani_JE_2005_2df.pdf
Recommendations
- Robust inference with GMM estimators
- Robust small sample accurate inference in moment condition models
- Structural change tests for GEL criteria
- Boundedly pivotal structural change tests in continuous updating GMM with strong, weak identification and completely unidentified cases
- ROBUST ESTIMATION OF STRUCTURAL BREAK POINTS
Parametric hypothesis testing (62F03) Point estimation (62F10) Bootstrap, jackknife and other resampling methods (62F40) Robustness and adaptive procedures (parametric inference) (62F35)
Cites Work
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- ROBUST ESTIMATION OF STRUCTURAL BREAK POINTS
- Title not available (Why is that?)
- Robust efficient method of moments estimation
Cited In (13)
- Robustness of GM-tests in autoregression against outliers
- Robust inference with GMM estimators
- Boundedly pivotal structural change tests in continuous updating GMM with strong, weak identification and completely unidentified cases
- Tests for structural break in quantile regressions
- Detection of structural breaks in linear dynamic panel data models
- Breakdown point theory for implied probability bootstrap
- Some diagnostic tools in robust econometrics
- Estimating and testing for smooth structural changes in moment condition models
- Modelling structural breaks, long memory and stock market volatility: an overview
- A Unified Approach to Structural Change Tests Based on ML Scores,FStatistics, and OLS Residuals
- Parameter instability in quantile regression
- ROBUST ESTIMATION OF STRUCTURAL BREAK POINTS
- Robustness of Bootstrap in Instrumental Variable Regression
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