Testing for structural instability in moment restriction models: an info-metric approach

DOI10.1080/07474938.2014.944477MaRDI QIDQ5080512zbMATH OpenOpenAlexFDO

Authors Alastair Hall, Yuyi Li, Arthur Sinko, Chris D. Orme

Publication date 31 May 2022

Published in Econometric Reviews (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial 3.0 Unported

Full work available at URL https://doi.org/10.1080/07474938.2014.944477

zbMATH Keywords

generalized empirical likelihoodmoment condition modelsparameter variationstructural instability

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Parametric hypothesis testing (62F03) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Recommendations

• Nonparametric tests of moment condition stability
• End-of-Sample Instability Tests
• Tests for Parameter Instability and Structural Change With Unknown Change Point
• Structural change tests for simulated method of moments.
• Predictive tests for structural change with unknown breakpoint

Cites work

• A Test for Structural Stability of Euler Conditions Parameters Estimated Via the Generalized Method of Moments Estimator
• An Information-Theoretic Alternative to Generalized Method of Moments Estimation
• AUTOMATIC POSITIVE SEMIDEFINITE HAC COVARIANCE MATRIX AND GMM ESTIMATION
• Empirical likelihood
• Empirical likelihood and general estimating equations
• Empirical likelihood methods with weakly dependent processes
• GEL criteria for moment condition models
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Higher Order Properties of Gmm and Generalized Empirical Likelihood Estimators
• scientific article; zbMATH DE number 3911472 (Why is no real title available?)
• scientific article; zbMATH DE number 2188315 (Why is no real title available?)
• Inference in Nonlinear Econometric Models with Structural Change
• Information and entropy econometrics -- editor's view.
• Large Sample Properties of Generalized Method of Moments Estimators
• Optimal Tests for Parameter Instability in the Generalized Method of Moments Framework
• Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
• Predictive tests for structural change with unknown breakpoint
• Testing for structural change in conditional models
• Tests for Parameter Instability and Structural Change With Unknown Change Point

Cited in

(5)

• Nonparametric tests of moment condition stability
• End-of-Sample Instability Tests
• Structural change tests for GEL criteria
• A multifactor transformed diffusion model with applications to VIX and VIX futures
• Local GMM estimation for nonparametric time-varying coefficient moment condition models

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