Optimal Predictive Tests and a Simulation Study

This file is part of IDEAS, which uses RePEc data

Optimal Predictive Tests and a Simulation Study

Author Info

Alain Guay () (Center for Research on Economic Fluctuations and Employment, UQAM)

Additional information is available for the following registered author(s):

Alain Guay

Abstract

This paper shows that predictive tests for structural change with unknown breakpoint are optimal tests such as defined by Sowell (1996a, 1996b). Optimal predictive tests for parameter instability and overidentifying restrictions stability are proposed. An optimal predictive test for parameter instability of a subset of moment conditions with unknown breakpoint is also introduced. The finite sample properties of LM, Wald, LR-type and predictive tests for parameters instability are studied via a simulation study.

Dans cet article, nous montrons que les tests de type prédictif pour détecter des changements structurels sont des tests optimaux selon la définition de Sowell (1996a, 1996b). Des tests prédictifs optimaux sont proposés pour détecter l'instabilité des paramètres et des conditions de suridentification. Un test optimal de stabilité d'un sous-emsemble des conditions de moments est également introduit. Une étude de Monte-Carlo compare le comportement en petit échantillon des tests Wald LR, LM et prédictif.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help file. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

Publisher Info
Paper provided by CREFE, Université du Québec à Montréal in its series Cahiers de recherche CREFE / CREFE Working Papers with number 142.

Download reference. The following formats are available: HTML, plain text, BibTeX, RIS (EndNote), ReDIF
Length: 28 pages
Date of creation: Oct 2001
Date of revision:
Handle: RePEc:cre:crefwp:142

Contact details of provider:
Postal: P.O. Box 8888, Downtown Station, Montreal (Canada) Quebec, H3C 3P8
Phone: (514) 987-6181
Fax: (514) 987-8494
Email:
Web page: http://ideas.uqam.ca/CREFE/
More information through EDIRC

For technical questions regarding this item, or to correct its listing, contact: (Stéphane Pallage).

Find related papers by JEL classification:
C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General
C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Hypothesis Testing
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models

This paper has been announced in the following NEP Reports:

NEP-ALL-2001-10-16 (All new papers)
NEP-ECM-2001-10-16 (Econometrics)

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

Fallaw Sowell, . "Tests for Violations of Moment Conditions," GSIA Working Papers 21, Carnegie Mellon University, Tepper School of Business. [Downloadable!]

Full references

Statistics
Access and download statistics

Did you know? IDEAS is also providing many rankings, for example of authors and institutions.

This page was last updated on 2008-10-3.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.