Tests for Parameter Instability and Structural Change With Unknown Change Point
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Publication:3142741
DOI10.2307/2951764zbMath0795.62012OpenAlexW2144452471MaRDI QIDQ3142741
Publication date: 15 September 1994
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/77c986937d205592a007df3661778a5ed4fc4e38
weak convergencelikelihood ratio testBessel processBrownian motionBrownian bridgeWald testgeneralized method of moments estimatorstructural changetables of critical valueschange pointLagrange multiplier testasymptotic null distributionsasymptotic local power optimality propertiestests for parameter instability
Asymptotic distribution theory in statistics (62E20) Parametric hypothesis testing (62F03) Central limit and other weak theorems (60F05) Asymptotic properties of parametric tests (62F05)
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