PIVOTAL STRUCTURAL CHANGE TESTS IN LINEAR SIMULTANEOUS EQUATIONS WITH WEAK IDENTIFICATION
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Publication:3168875
DOI10.1017/S0266466610000290zbMath1210.62239WikidataQ57436385 ScholiaQ57436385MaRDI QIDQ3168875
Publication date: 27 April 2011
Published in: Econometric Theory (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/s0266466610000290
62P20: Applications of statistics to economics
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62F03: Parametric hypothesis testing
62H15: Hypothesis testing in multivariate analysis
Cites Work
- Boundedly pivotal structural change tests in continuous updating GMM with strong, weak identification and completely unidentified cases
- Generalized empirical likelihood tests in time series models with potential identification failure
- Tests for Parameter Instability and Structural Change With Unknown Change Point
- Instrumental Variables Regression with Weak Instruments
- Stochastic Limit Theory
- Optimal Tests for Parameter Instability in the Generalized Method of Moments Framework
- Testing Parameters in GMM Without Assuming that They Are Identified
- Pivotal Statistics for Testing Structural Parameters in Instrumental Variables Regression
- Estimation of the Parameters of a Single Equation in a Complete System of Stochastic Equations
