Robust GMM tests for structural breaks

DOI10.1016/J.JECONOM.2004.09.006MaRDI QIDQ265111zbMATH OpenOpenAlexFDO

Authors Patrick Gagliardini, Fabio Trojani, Giovanni Urga

Publication date 1 April 2016

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL http://doc.rero.ch/record/6523/files/trojani_JE_2005_2df.pdf

zbMATH Keywords

bootstrapMonte Carlostructural breaksgeneralized method of momentrobust tests

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Point estimation (62F10) Bootstrap, jackknife and other resampling methods (62F40) Robustness and adaptive procedures (parametric inference) (62F35)

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Cites work

• scientific article; zbMATH DE number 3954047 (Why is no real title available?)
• scientific article; zbMATH DE number 775111 (Why is no real title available?)
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• Bootstrap Critical Values for Tests Based on Generalized-Method-of-Moments Estimators
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• High Breakdown Point Conditional Dispersion Estimation with Application to S & P 500 Daily Returns Volatility
• Inference in Nonlinear Econometric Models with Structural Change
• Infinitesimal robustness for autoregressive processes
• Large Sample Properties of Generalized Method of Moments Estimators
• Nonsmooth analysis and Fréchet differentiability of M-functionals
• On the Asymptotic Distribution of Differentiable Statistical Functions
• Optimal Conditionally Unbiased Bounded-Influence Inference in Dynamic Location and Scale Models
• Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
• Predictive tests for structural change with unknown breakpoint
• ROBUST ESTIMATION OF STRUCTURAL BREAK POINTS
• Regression Quantiles
• Robust Bounded-Influence Tests in General Parametric Models
• Robust Indirect Inference
• Robust Statistics
• Robust efficient method of moments estimation
• Robust estimators for simultaneous equations models
• Robust inference with GMM estimators
• Saddlepoint approximations
• Testing structural stability with endogenous breakpoint. A size comparison of analytic and bootstrap procedures
• Tests for Parameter Instability and Structural Change With Unknown Change Point
• The Influence Curve and Its Role in Robust Estimation
• The large sample behaviour of the generalized method of moments estimator in misspecified models

Cited in

(13)

• Tests for structural break in quantile regressions
• Breakdown point theory for implied probability bootstrap
• Parameter instability in quantile regression
• Boundedly pivotal structural change tests in continuous updating GMM with strong, weak identification and completely unidentified cases
• A Unified Approach to Structural Change Tests Based on ML Scores,FStatistics, and OLS Residuals
• ROBUST ESTIMATION OF STRUCTURAL BREAK POINTS
• Robust inference with GMM estimators
• Some diagnostic tools in robust econometrics
• Modelling structural breaks, long memory and stock market volatility: an overview
• Robustness of GM-tests in autoregression against outliers
• Robustness of Bootstrap in Instrumental Variable Regression
• Estimating and testing for smooth structural changes in moment condition models
• Detection of structural breaks in linear dynamic panel data models

Describes a project that uses

Uses Software

• semml

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