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External bootstrap tests for parameter stability

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Author Info

  • Delgado, Miguel A.
  • Fiteni, Inmaculada

Abstract

This article considers tests for parameter stability over time in general econometric models, possibly nonlinear-in-variables. Existing test statistics are commonly not asymptotically pivotal under nonstandard conditions. In such cases, the external bootstrap tests proposed in this paper are appealing from a practical viewpoint. We propose to use bootstrap versions of the asymptotic critical values based on a first-order asymptotic expansion of the test statistics under the null hypothesis, which consists of a linear transformation of the unobserved ?innovations? partial sum process. The nature of these transformations under nonstandard conditions is discussed for the main testing principles. Also, we investigate the small sample performance of the proposed bootstrap tests by means of a small Monte Carlo experiment.

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 109 (2002)
Issue (Month): 2 (August)
Pages: 275-303

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Handle: RePEc:eee:econom:v:109:y:2002:i:2:p:275-303

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Web page: http://www.elsevier.com/locate/jeconom

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References

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  1. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-54, July.
  2. de Jong, Robert M., 1996. "The Bierens test under data dependence," Journal of Econometrics, Elsevier, vol. 72(1-2), pages 1-32.
  3. Hansen, Bruce E, 1996. "Inference When a Nuisance Parameter Is Not Identified under the Null Hypothesis," Econometrica, Econometric Society, vol. 64(2), pages 413-30, March.
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  5. Amemiya, Takeshi & Powell, James L., 1981. "A comparison of the Box-Cox maximum likelihood estimator and the non-linear two-stage least squares estimator," Journal of Econometrics, Elsevier, vol. 17(3), pages 351-381, December.
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  7. Donald W.K. Andrews, 1990. "Tests for Parameter Instability and Structural Change with Unknown Change Point," Cowles Foundation Discussion Papers 943, Cowles Foundation for Research in Economics, Yale University.
  8. Romano, Joseph P & Wolf, Michael, 2001. "Subsampling Intervals in Autoregressive Models with Linear Time Trend," Econometrica, Econometric Society, vol. 69(5), pages 1283-1314, September.
  9. Donald W.K. Andrews & Werner Ploberger, 1992. "Optimal Tests When a Nuisance Parameter Is Present Only Under the Alternative," Cowles Foundation Discussion Papers 1015, Cowles Foundation for Research in Economics, Yale University.
  10. Joon Y. Park & Peter C. B. Phillips, 1999. "Nonlinear Regressions with Integrated Time Series," Working Paper Series no6, Institute of Economic Research, Seoul National University.
  11. Robinson, P.M. & Velasco, Carlos, . "Autocorrelation-Robust Inference," Open Access publications from Universidad Carlos III de Madrid info:hdl:10016/4529, Universidad Carlos III de Madrid.
  12. Sowell, Fallaw, 1996. "Optimal Tests for Parameter Instability in the Generalized Method of Moments Framework," Econometrica, Econometric Society, vol. 64(5), pages 1085-1107, September.
  13. Hall, Peter & Horowitz, Joel L, 1996. "Bootstrap Critical Values for Tests Based on Generalized-Method-of-Moments Estimators," Econometrica, Econometric Society, vol. 64(4), pages 891-916, July.
  14. Robinson, P M, 1991. "Best Nonlinear Three-Stage Least Squares Estimation of Certain Econometric Models," Econometrica, Econometric Society, vol. 59(3), pages 755-86, May.
  15. Beran, R.J. & Le Cam, L. & Millar, P.W., 1987. "Convergence of stochastic empirical measures," Journal of Multivariate Analysis, Elsevier, vol. 23(1), pages 159-168, October.
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Cited by:
  1. Domínguez, Manuel A. & Lobato, Ignacio N., . "A consistent specification test for models defined by conditional moment restrictions," Open Access publications from Universidad Carlos III de Madrid info:hdl:10016/376, Universidad Carlos III de Madrid.

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