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 Universidad Carlos III, Departamento de Economía in its series Economics Working Papers with number we1236.
Date of creation: Sep 2012
Date of revision:
Structural stability; GMM; 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 & Myung Hwan Seo, 2012. "Testing for Structural Stability in the Whole Sample," STICERD - Econometrics Paper Series /2013/561, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- 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
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.:
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Cowles Foundation Discussion Papers
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Cowles Foundation Discussion Papers
1015, Cowles Foundation for Research in Economics, Yale University.
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