Predictive tests for structural change with unknown breakpoint
AbstractThis paper considers predictive tests for structural change in models estimated via Generalized Method of Moments. Our analysis extends earlier work by Ghysels and Hall (1990a) by allowing for the instability to occur at an unknown point in the sample. We analyze various statistics based on continuous mappings of the sequence of predictive tests calculated for a set of possible breakpoints in the sample. The limiting distribution of these statistics is derived under both the null hypothesis and local alternatives. Percentiles are reported for the distribution under the null. A side product of our analysis is that we can illuminate the power properties of the predictive test and also compare its properties to those of the Wald, LR and LM tests for parameter variation. We study those power properties both via local asymptotic analysis and Monte Carlo. Cette Ã©tude gÃ©nÃ©ralise la procÃ©dure proposÃ©e par Ghysels et Hall (1990a) pour tester le changement structurel pour des modÃ¨les estimÃ©s par la mÃ©thode de moments gÃ©nÃ©ralisÃ©e. Nous ne supposons plus le point de rupture comme Ã©tant connu et proposons plusieurs statistiques prÃ©dictives avec changement structurel inconnu. Comme les distributions asymptotiques sont non standard, nous fournissons les valeurs critiques. Finalement, nous Ã©tudions la puissance des tests et faisons des comparaisons avec des tests du type Wald, LM et LR.
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Econometrics.
Volume (Year): 82 (1998)
Issue (Month): 2 (February)
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Web page: http://www.elsevier.com/locate/jeconom
Other versions of this item:
- Ghysels, E. & Guay, A. & Hall, A., 1995. "Predictive Tests for Structural Change with Unknown Breakpoint," Cahiers de recherche 9524, Universite de Montreal, Departement de sciences economiques.
- Eric Ghysels & Alain Guay & Alastair Hall, 1995. "Predictive Tests for Structural Change with Unknown Breakpoint," CIRANO Working Papers 95s-20, CIRANO.
- Ghysels, E. & Guay, A. & Hall, A., 1995. "Predictive Tests for Structural Change with Unknown Breakpoint," Cahiers de recherche 9524, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
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