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Tests for Parameter Instability and Structural Change with Unknown Change Point

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Andrews, Donald W K

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Abstract

This paper considers tests for parameter instability and structural change with unknown change point. The results apply to a wide class of parametric models that are suitable for estimation by generalized method of moments procedures. The asymptotic distributions of the test statistics considered here are nonstandard because the change point parameter only appears under the alternative hypothesis and not under the null. The tests considered here are shown to have nontrivial asymptotic local power against all alternatives for which the parameters are nonconstant. The tests are found to perform quite well in a Monte Carlo experiment reported elsewhere. Copyright 1993 by The Econometric Society.

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Article provided by Econometric Society in its journal Econometrica.

Volume (Year): 61 (1993)
Issue (Month): 4 (July)
Pages: 821-56
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Handle: RePEc:ecm:emetrp:v:61:y:1993:i:4:p:821-56

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  1. Andrews, Donald W K, 1991. "Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation," Econometrica, Econometric Society, vol. 59(3), pages 817-58, May. [Downloadable!] (restricted)
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This page was last updated on 2008-7-15.

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