Structural change tests for GEL criteria
AbstractThis paper examines structural change tests based on generalized empirical likelihood methods in the time series context. Standard structural change tests for GMM with strongly identified parameters are adapted to the GEL context. We show that when moment conditions are properly smoothed, these test statistics converge to the same asymptotic distribution as in GMM, in cases with known and unknown breakpoints. New test statistics specific to GEL methods are also introduced. Finally, we propose stability tests in the GEL framework that are robust to weak identification and dependent data. A simulation study examines the small sample properties of the tests.
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Bibliographic InfoPaper provided by Brock University, Department of Economics in its series Working Papers with number 1002.
Length: 49 pages
Date of creation: Feb 2010
Date of revision:
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Generalized empirical likelihood; generalized method of moments; parameter instability; structural change; weak identification;
Find related papers by JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
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- Alastair R. Hall & Yuyi Li & Chris D. Orme, 2012. "Testing for Structural Instability in Moment Restriction Models: an Info?metric Approach," The School of Economics Discussion Paper Series 1205, Economics, The University of Manchester.
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