OPTIMAL TESTS FOR NESTED MODEL SELECTION WITH UNDERLYING PARAMETER INSTABILITY

DOI10.1017/S0266466605050486MaRDI QIDQ3375347zbMATH OpenFDO

Authors Barbara Rossi

Publication date 8 March 2006

Published in Econometric Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/S0266466605050486

zbMATH Keywords

Lagrange multiplier test

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Hypothesis testing in multivariate analysis (62H15) Applications of statistics to economics (62P20)

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Cites work

• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• A Test for Structural Stability of Euler Conditions Parameters Estimated Via the Generalized Method of Moments Estimator
• Admissibility of the likelihood ratio test when a nuisance parameter is present only under the alternative
• Asymptotic theory of a test for the constancy of regression coefficients against the random walk alternative
• Bootstrap specification tests for diffusion processes
• Comparisons of Tests for the Presence of Random Walk Coefficients in a Simple Linear Model
• Estimating and Testing Linear Models with Multiple Structural Changes
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Median Unbiased Estimation of Coefficient Variance in a Time-Varying Parameter Model
• Optimal changepoint tests for normal linear regression
• Optimal Tests for Parameter Instability in the Generalized Method of Moments Framework
• Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
• Predictive tests for structural change with unknown breakpoint
• Robust tests for spherical symmetry and their application to least squares regression
• Testing for the Constancy of Parameters Over Time
• Tests for Parameter Instability and Structural Change With Unknown Change Point
• Tests of Equality Between Sets of Coefficients in Two Linear Regressions
• Tests of the Hypothesis that a Linear Regression System Obeys Two Separate Regimes
• The Cusum Test with Ols Residuals
• The power of tests of predictive ability in the presence of structural breaks

Cited in

(13)

• Trend of commodity prices and exchange rate in Australian economy: time varying parameter model approach
• Conditional predictive density evaluation in the presence of instabilities
• The power of tests of predictive ability in the presence of structural breaks
• Optimal test forPAR(1) dependence againstPSETAR(2,1,1) models with specified threshold
• Model comparisons in unstable environments
• Parametric and semi-parametric efficient tests for parameter instability
• Estimation and testing of Euler equation models with time-varying reduced-form coefficients
• Lag length and mean break in stationary VAR models
• Optimal Tests for Parameter Instability in the Generalized Method of Moments Framework
• ARE EXCHANGE RATES REALLY RANDOM WALKS? SOME EVIDENCE ROBUST TO PARAMETER INSTABILITY
• Robust inference for predictability in smooth transition predictive regressions
• Inferring the Predictability Induced by a Persistent Regressor in a Predictive Threshold Model
• Quantile Granger causality in the presence of instability

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