Optimal Tests for Parameter Instability in the Generalized Method of Moments Framework
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Publication:4895057
DOI10.2307/2171957zbMath0859.62060MaRDI QIDQ4895057
Publication date: 9 April 1997
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2307/2171957
stochastic differential equation; Brownian motion; generalized method of moments; Brownian bridge; normal distribution; Radon-Nikodym derivative; Neyman-Pearson lemma; optimal tests; parameter instability; multivariate invariance principle
62P20: Applications of statistics to economics
62E20: Asymptotic distribution theory in statistics
62H15: Hypothesis testing in multivariate analysis
62M07: Non-Markovian processes: hypothesis testing
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