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Robust GMM tests for structural breaks

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  • Gagliardini, Patrick
  • Trojani, Fabio
  • Urga, Giovanni

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  • Gagliardini, Patrick & Trojani, Fabio & Urga, Giovanni, 2005. "Robust GMM tests for structural breaks," Journal of Econometrics, Elsevier, vol. 129(1-2), pages 139-182.
    • Handle: RePEc:eee:econom:v:129:y:2005:i:1-2:p:139-182
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    1. Ghysels, Eric & Hall, Alastair, 1990. "A Test for Structural Stability of Euler Conditions Parameters Estimated via the Generalized Method of Moments Estimator," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 31(2), pages 355-364, May.
    2. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-1054, July.
    3. Diebold, Francis X. & Chen, Celia, 1996. "Testing structural stability with endogenous breakpoint A size comparison of analytic and bootstrap procedures," Journal of Econometrics, Elsevier, vol. 70(1), pages 221-241, January.
    4. Fiteni, Inmaculada, 2002. "Robust Estimation Of Structural Break Points," Econometric Theory, Cambridge University Press, vol. 18(2), pages 349-386, April.
    5. Ghysels, Eric & Guay, Alain & Hall, Alastair, 1998. "Predictive tests for structural change with unknown breakpoint," Journal of Econometrics, Elsevier, vol. 82(2), pages 209-233, February.
    6. Ronchetti, Elvezio & Trojani, Fabio, 2001. "Robust inference with GMM estimators," Journal of Econometrics, Elsevier, vol. 101(1), pages 37-69, March.
    7. Altonji, Joseph G & Segal, Lewis M, 1996. "Small-Sample Bias in GMM Estimation of Covariance Structures," Journal of Business & Economic Statistics, American Statistical Association, vol. 14(3), pages 353-366, July.
    8. Hall, Alastair R. & Inoue, Atsushi, 2003. "The large sample behaviour of the generalized method of moments estimator in misspecified models," Journal of Econometrics, Elsevier, vol. 114(2), pages 361-394, June.
    9. Ortelli, Claudio & Trojani, Fabio, 2005. "Robust efficient method of moments," Journal of Econometrics, Elsevier, vol. 128(1), pages 69-97, September.
    10. Donald W. K. Andrews, 2003. "Tests for Parameter Instability and Structural Change with Unknown Change Point: A Corrigendum," Econometrica, Econometric Society, vol. 71(1), pages 395-397, January.
    11. Andrews, Donald W K, 1993. "Tests for Parameter Instability and Structural Change with Unknown Change Point," Econometrica, Econometric Society, vol. 61(4), pages 821-856, July.
    12. Genton M.G. & Ronchetti E., 2003. "Robust Indirect Inference," Journal of the American Statistical Association, American Statistical Association, vol. 98, pages 67-76, January.
    13. Peracchi, Franco, 1991. "Robust M-Tests," Econometric Theory, Cambridge University Press, vol. 7(1), pages 69-84, March.
    14. Koenker, Roger W & Bassett, Gilbert, Jr, 1978. "Regression Quantiles," Econometrica, Econometric Society, vol. 46(1), pages 33-50, January.
    15. Hansen, Bruce E, 1997. "Approximate Asymptotic P Values for Structural-Change Tests," Journal of Business & Economic Statistics, American Statistical Association, vol. 15(1), pages 60-67, January.
    16. Andrews, Donald W K & Ploberger, Werner, 1994. "Optimal Tests When a Nuisance Parameter Is Present Only under the Alternative," Econometrica, Econometric Society, vol. 62(6), pages 1383-1414, November.
    17. Franco Peracchi, 1988. "Robust M-Estimators," UCLA Economics Working Papers 477, UCLA Department of Economics.
    18. 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.
    19. Hansen, Lars Peter & Heaton, John & Yaron, Amir, 1996. "Finite-Sample Properties of Some Alternative GMM Estimators," Journal of Business & Economic Statistics, American Statistical Association, vol. 14(3), pages 262-280, July.
    20. Krishnakumar, J. & Ronchetti, E., 1997. "Robust estimators for simultaneous equations models," Journal of Econometrics, Elsevier, vol. 78(2), pages 295-314, June.
    21. Shinichi Sakata & Halbert White, 1998. "High Breakdown Point Conditional Dispersion Estimation with Application to S&P 500 Daily Returns Volatility," Econometrica, Econometric Society, vol. 66(3), pages 529-568, May.
    22. Donald W. K. Andrews & Ray C. Fair, 1988. "Inference in Nonlinear Econometric Models with Structural Change," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 55(4), pages 615-640.
    23. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
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    Cited by:

    1. Achim Zeileis, 2005. "A Unified Approach to Structural Change Tests Based on ML Scores, F Statistics, and OLS Residuals," Econometric Reviews, Taylor & Francis Journals, vol. 24(4), pages 445-466.
    2. De Wachter, Stefan & Tzavalis, Elias, 2012. "Detection of structural breaks in linear dynamic panel data models," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3020-3034.
    3. Loriano Mancini & Fabio Trojani, 2011. "Robust Value at Risk Prediction," Journal of Financial Econometrics, Oxford University Press, vol. 9(2), pages 281-313, Spring.
    4. repec:cep:stiecm:/2014/572 is not listed on IDEAS
    5. Lorenzo Camponovo & O. Scaillet & Fabio Trojani, 2013. "Predictability Hidden by Anomalous Observations," Swiss Finance Institute Research Paper Series 13-05, Swiss Finance Institute.
    6. Markus Leippold & Fabio Trojani & Paolo Vanini, 2008. "Learning and Asset Prices Under Ambiguous Information," The Review of Financial Studies, Society for Financial Studies, vol. 21(6), pages 2565-2597, November.
    7. Marilena Furno, 2011. "Goodness of Fit and Misspecification in Quantile Regressions," Journal of Educational and Behavioral Statistics, , vol. 36(1), pages 105-131, February.
    8. Lorenzo Camponovo & Taisuke Otsu, 2015. "Robustness of Bootstrap in Instrumental Variable Regression," Econometric Reviews, Taylor & Francis Journals, vol. 34(3), pages 352-393, March.
    9. Marilena Furno, 2012. "Tests for structural break in quantile regressions," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 96(4), pages 493-515, October.
    10. Pavel Cizek & Wolfgang Härdle, 2006. "Robust Econometrics," SFB 649 Discussion Papers SFB649DP2006-050, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    11. Lorenzo Camponovo & Olivier Scaillet & Fabio Trojani, 2017. "Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy," Journal of Financial Econometrics, Oxford University Press, vol. 15(3), pages 377-387.
    12. Banerjee, Anindya & Urga, Giovanni, 2005. "Modelling structural breaks, long memory and stock market volatility: an overview," Journal of Econometrics, Elsevier, vol. 129(1-2), pages 1-34.

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