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Testing for structural stability in the whole sample

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  • Hidalgo, Javier
  • Seo, Myung Hwan

Abstract

The paper examines a Lagrange Multiplier type test for the constancy of the parameter in general models with dependent data without imposing any artificial choice of the possible location of the break. In order to prove the asymptotic behaviour of the test, we extend a strong approximation result for partial sums of a sequence of random variables. We also present a Monte-Carlo experiment to examine the finite sample performance of the test and how it compares with tests which assume some knowledge of the possible location of the break.

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 175 (2013)
Issue (Month): 2 ()
Pages: 84-93

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Handle: RePEc:eee:econom:v:175:y:2013:i:2:p:84-93

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

Related research

Keywords: Structural stability; GMM; Strong approximation; Extreme value distribution;

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  1. Andrews, Donald W K, 1993. "Tests for Parameter Instability and Structural Change with Unknown Change Point," Econometrica, Econometric Society, vol. 61(4), pages 821-56, July.
  2. P. M. Robinson, 1998. "Inference-Without-Smoothing in the Presence of Nonparametric Autocorrelation," Econometrica, Econometric Society, vol. 66(5), pages 1163-1182, September.
  3. 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.
  4. Shao, Q. M., 1995. "Strong Approximation Theorems for Independent Random Variables and Their Applications," Journal of Multivariate Analysis, Elsevier, vol. 52(1), pages 107-130, January.
  5. Donald W.K. Andrews, 2002. "End-of-Sample Instability Tests," Cowles Foundation Discussion Papers 1369, Cowles Foundation for Research in Economics, Yale University.
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Cited by:
  1. Lorenzo Trapani, 2014. "Comments on: Extensions of some classical methods in change point analysis," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer, vol. 23(2), pages 283-286, June.
  2. Lajos Horváth & Gregory Rice, 2014. "Extensions of some classical methods in change point analysis," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer, vol. 23(2), pages 219-255, June.

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