Optimal Predictive Tests

DOI10.1081/ETC-120025896zbMath1043.62013MaRDI QIDQ4434415

Alain Guay

Publication date: 6 November 2003

Published in: Econometric Reviews (Search for Journal in Brave)

zbMATH Keywords

tablesgeneralized method of momentssimulations

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03) Point estimation (62F10) Probabilistic models, generic numerical methods in probability and statistics (65C20)

Related Items (4)

TESTING FOR STRUCTURAL CHANGE IN THE PRESENCE OF AUXILIARY MODELS ⋮ STRUCTURAL CHANGE TESTS BASED ON IMPLIED PROBABILITIES FOR GEL CRITERIA ⋮ Structural change tests for simulated method of moments. ⋮ Structural change tests for GEL criteria

Cites Work

• Predictive tests for structural change with unknown breakpoint
• A Test for Structural Stability of Euler Conditions Parameters Estimated Via the Generalized Method of Moments Estimator
• An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
• Automatic Lag Selection in Covariance Matrix Estimation
• Covariance Matrix Estimation and the Power of the Overidentifying Restrictions Test
• Optimal Tests for Parameter Instability in the Generalized Method of Moments Framework
• Convergence of stochastic processes

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