Optimal Tests for Parameter Instability in the Generalized Method of Moments Framework

DOI10.2307/2171957MaRDI QIDQ4895057zbMATH OpenOpenAlexFDO

Authors Fallaw B. Sowell

Publication date 9 April 1997

Published in Econometrica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/2171957

zbMATH Keywords

generalized method of momentsnormal distributionstochastic differential equationBrownian motionNeyman-Pearson lemmaoptimal testsBrownian bridgeparameter instabilityRadon-Nikodym derivativemultivariate invariance principle

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20) Hypothesis testing in multivariate analysis (62H15) Non-Markovian processes: hypothesis testing (62M07)

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• LONG MEMORY AND PERSISTENCE IN DOLLAR-BASED REAL EXCHANGE RATES
• Testing for parameter constancy in the time series direction in panel data models
• Synchronization of cycles
• Structural change tests for simulated method of moments.
• Parametric and semi-parametric efficient tests for parameter instability
• A Unified Approach to Structural Change Tests Based on ML Scores,FStatistics, and OLS Residuals
• Valid Inference in Partially Unstable Generalized Method of Moments Models
• Shrinkage of variance for minimum distance based tests
• Inference regarding multiple structural changes in linear models with endogenous regressors
• Nonparametric tests of moment condition stability
• Predictive tests for structural change with unknown breakpoint
• CUSUM-type testing for changing parameters in a spatial autoregressive model for stock returns
• Testing for multiple structural changes with non-homogeneous regressors
• LONG MEMORY AND SAMPLING FREQUENCIES: EVIDENCE IN STOCK INDEX FUTURES MARKETS
• TESTING FOR STRUCTURAL CHANGE IN THE PRESENCE OF AUXILIARY MODELS
• In-fill asymptotic theory for structural break point in autoregressions
• Structural change tests for GEL criteria
• Testing constancy in varying coefficient models
• Optimal Predictive Tests
• External bootstrap tests for parameter stability.
• GMM tests for the Katz family of distributions
• SEQUENTIAL CHANGE-POINT DETECTION IN GARCH(p,q) MODELS
• Estimation and inference in unstable nonlinear least squares models
• Chi-squared tests for evaluation and comparison of asset pricing models
• Asymptotic distribution theory for break point estimators in models estimated via 2SLS
• Structural change tests based on implied probabilities for gel criteria
• Likelihood ratio tests for multiple structural changes
• OPTIMAL TESTS FOR NESTED MODEL SELECTION WITH UNDERLYING PARAMETER INSTABILITY
• Covariance matrix estimation and the limiting behavior of the overidentifying restrictions test in the presence of neglected structural instability
• PIVOTAL STRUCTURAL CHANGE TESTS IN LINEAR SIMULTANEOUS EQUATIONS WITH WEAK IDENTIFICATION
• Testing for structural instability in moment restriction models: an info-metric approach
• Estimating and testing for smooth structural changes in moment condition models

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