Covariance matrix estimation and the limiting behavior of the overidentifying restrictions test in the presence of neglected structural instability
DOI10.1017/S0266466603196041zbMATH Open1441.62715OpenAlexW2097611102MaRDI QIDQ4562545FDOQ4562545
Authors: Alastair Hall, Atsushi Inoue, Fernanda P. M. Peixe 
Publication date: 21 December 2018
Published in: Econometric Theory (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/s0266466603196041
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Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20) Estimation in multivariate analysis (62H12)
Cites Work
- Large Sample Properties of Generalized Method of Moments Estimators
- Title not available (Why is that?)
- Matrix Analysis
- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
- The large sample behaviour of the generalized method of moments estimator in misspecified models
- Tests for Parameter Instability and Structural Change With Unknown Change Point
- A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
- Covariance Matrix Estimation and the Power of the Overidentifying Restrictions Test
- 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
- Inference in Nonlinear Econometric Models with Structural Change
- Consistent Moment Selection Procedures for Generalized Method of Moments Estimation
- Order estimation in ARMA-models by Lagrangian multiplier tests
- Optimal Tests for Parameter Instability in the Generalized Method of Moments Framework
Cited In (4)
- Size matters: covariance matrix estimation under the alternative
- Covariance Matrix Estimation and the Power of the Overidentifying Restrictions Test
- Inference regarding multiple structural changes in linear models with endogenous regressors
- Testing over-identifying restrictions without consistent estimation of the asymptotic covariance matrix
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