Boundedly pivotal structural change tests in continuous updating GMM with strong, weak identification and completely unidentified cases

DOI10.1016/J.JECONOM.2006.03.007MaRDI QIDQ278490zbMATH OpenOpenAlexFDO

Authors Mehmet Caner

Publication date 2 May 2016

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

Full work available at URL https://doi.org/10.1016/j.jeconom.2006.03.007

zbMATH Keywords

stabilityweak instrumentsconstrained CUEsequential empirical process

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Applications of statistics to economics (62P20) Asymptotic properties of parametric tests (62F05)

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Cites work

• scientific article; zbMATH DE number 1953396 (Why is no real title available?)
• An introduction to econometric applications of empirical process theory for dependent random variables
• Asymptotic Properties of Non-Linear Least Squares Estimators
• Boundedly pivotal structural change tests in continuous updating GMM with strong, weak identification and completely unidentified cases
• Cube root asymptotics
• Estimation of the Parameters of a Single Equation in a Complete System of Stochastic Equations
• GMM with Weak Identification
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Invariance principles for absolutely regular empirical processes
• Mixing: Properties and examples
• Projection-Based Statistical Inference in Linear Structural Models with Possibly Weak Instruments
• Some Impossibility Theorems in Econometrics With Applications to Structural and Dynamic Models
• Testing Parameters in GMM Without Assuming that They Are Identified
• Tests for Parameter Instability and Structural Change With Unknown Change Point
• Weak convergence and empirical processes. With applications to statistics

Cited in

(9)

• Robust GMM tests for structural breaks
• Boundedly pivotal structural change tests in continuous updating GMM with strong, weak identification and completely unidentified cases
• Structural change tests for GEL criteria
• Nearly-singular design in GMM and generalized empirical likelihood estimators
• Structural change tests based on implied probabilities for gel criteria
• Testing, Estimation in GMM and CUE with Nearly-Weak Identification
• PIVOTAL STRUCTURAL CHANGE TESTS IN LINEAR SIMULTANEOUS EQUATIONS WITH WEAK IDENTIFICATION
• Estimating and testing for smooth structural changes in moment condition models
• Estimation and inference in unstable nonlinear least squares models

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