Testing For Structural Stability In The Whole Sample
AbstractThe 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 InfoPaper provided by Suntory and Toyota International Centres for Economics and Related Disciplines, LSE in its series STICERD - Econometrics Paper Series with number /2011/558.
Date of creation: Oct 2011
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Web page: http://sticerd.lse.ac.uk/_new/publications/default.asp
Structural Stability. GMM estimation. Strong approximation. Extreme value distribution.;
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"End-of-Sample Instability Tests,"
Econometric Society, vol. 71(6), pages 1661-1694, November.
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