This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Tests for Parameter Instability and Structural Change with Unknown Change Point

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Donald W.K. Andrews () (Cowles Foundation, Yale University)

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

Abstract

This paper considers tests of parameter instability and structural change with unknown change point. The results apply to a wide class of parametric models including models that satisfy maximum likelihood type regularity conditions and models that are suitable for estimation by generalized method of moments procedures. The paper considers likelihood ratio and likelihood ratio like tests, as well as asymptotically equivalent Wald and Lagrange multiplier tests. Each test implicitly uses an estimate of change point. Tests of both "pure" and "partial" structural change are discussed.

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.

File URL: http://cowles.econ.yale.edu/P/cp/p08a/p0845.pdf
File Format: application/pdf
File Function:
Download Restriction: no
File URL: http://cowles.econ.yale.edu/P/cd/d09a/d0943.pdf
File Format: application/pdf
File Function:
Download Restriction: no

Publisher Info
Paper provided by Cowles Foundation, Yale University in its series Cowles Foundation Discussion Papers with number 943.

Download reference. The following formats are available: HTML, plain text, BibTeX, RIS (EndNote), ReDIF
Length: 78 pages
Date of creation: Apr 1990
Date of revision:
Publication status: Published in Econometrica, 61(4), 1993
Handle: RePEc:cwl:cwldpp:943

Note: CFP 845.
Contact details of provider:
Postal: Yale University, Box 208281, New Haven, CT 06520-8281 USA
Phone: (203) 432-3702
Fax: (203) 432-6167
Web page: http://cowles.econ.yale.edu/
More information through EDIRC

Order Information:
Postal: Cowles Foundation, Yale University, Box 208281, New Haven, CT 06520-8281 USA

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

Related research
Keywords: Asymptotic theory parametric models multiplier tests structural change

Other versions of this item:

This item is featured on the following reading lists:
  1. Top 1‰ items by number of citations
  2. Top 1‰ items by number of citations weighted by simple impact factors
  3. Top 1‰ items by number of citations weighted by recursive impact factors
  4. Top 1‰ items by number of citations discounted by age
  5. Top 1‰ items by number of citations weighted by simple impact factors and discounted by age
  6. Top 1‰ items by number of citations weighted by recursive impact factors and discounted by age
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.:
  1. Andrews, Donald W K, 1991. "Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation," Econometrica, Econometric Society, vol. 59(3), pages 817-58, May. [Downloadable!] (restricted)
    Other versions:
Full references

Cited by:
(explanations, 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.)
This item has more than 25 citations. To prevent cluttering this page, these citations are listed on a separate page.
Statistics
Access and download statistics

Did you know? There are NEP reports in over 80 fields that deliver new research to your email.

This page was last updated on 2008-7-18.

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.