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)

zbMATH Keywords

Lagrange multiplier test

Mathematics Subject Classification ID

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

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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 Tests for Parameter Instability in the Generalized Method of Moments Framework
• Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
• Optimal changepoint tests for normal linear regression
• 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

(11)

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

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