Computationally attractive stability tests for the efficient method of moments

DOI10.1111/1368-423X.00012MaRDI QIDQ6166863zbMATH OpenOpenAlexFDO

Authors

Publication date 7 July 2023

Published in Econometrics Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/1368-423x.00012

zbMATH Keywords

efficient method of momentsstochastic volatility modelsparameter updatesstructural stability tests with known breakpoint

Mathematics Subject Classification ID

Statistics (62-XX)

Cited in

(1)

• Structural change tests for simulated method of moments.

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