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 arti…cial 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 …nite 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 /2013/561.
Date of creation: Sep 2012
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Web page: http://sticerd.lse.ac.uk/_new/publications/default.asp
Structural Stability; GMM estimation; Strong approximation; Extreme value distribution.;
Other versions of this item:
- Hidalgo, Javier & Seo, Myung Hwan, 2013. "Testing for structural stability in the whole sample," Journal of Econometrics, Elsevier, vol. 175(2), pages 84-93.
- Javier Hidalgo & Myunghwan Seo, 2011. "Testing For Structural Stability In The Whole Sample," STICERD - Econometrics Paper Series /2011/558, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Javier Hidalgo-Moreno & Myung Hwan Seo, 2012. "Testing for structural stability in the whole sample," Economics Working Papers we1236, Universidad Carlos III, Departamento de Economía.
- 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; Diffusion Processes
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Cowles Foundation Discussion Papers
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