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Testing For Structural Change In The Presence Of Auxiliary Models

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  • Ghysels, Eric
  • Guay, Alain

Abstract

Several estimation procedures such as the efficient method of moments (EMM) of Gallant and Tauchen (1996, Econometric Theory 12, 657–681) and indirect inference procedure of Gouriéroux, Monfort, and Renault (1993, Journal of Applied Econometrics 8, S85–S118) involve two models, an auxiliary one and a model of interest. The role played by both models poses challenges and provides new opportunities for hypothesis testing beyond the usual Wald-, Lagrange multiplier–, and likelihood ratio–type tests. In this paper we present and derive the asymptotic distribution theory for various classes of tests for structural change. Some procedures are extensions of standard tests, whereas others are specific to the dual model setup and exploit its unique features.The first author gratefully acknowledges financial support from Fonds pour la Formation de Chercheurs et l'aide à la Recherche (FCAR). The second author acknowledges the financial support of the Natural Sciences and Engineering Research Council of Canada through a grant to NCM2 (Network for Computing and Mathematical Modeling). We also thank Alastair Hall and Éric Renault for comments on an earlier draft of the paper.

Suggested Citation

  • Ghysels, Eric & Guay, Alain, 2004. "Testing For Structural Change In The Presence Of Auxiliary Models," Econometric Theory, Cambridge University Press, vol. 20(6), pages 1168-1202, December.
  • Handle: RePEc:cup:etheor:v:20:y:2004:i:06:p:1168-1202_20
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    3. Mardi Dungey & Vitali Alexeev & Jing Tian & Alastair R. Hall, 2015. "Econometricians Have Their Moments: GMM at 32," The Economic Record, The Economic Society of Australia, vol. 91, pages 1-24, June.

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    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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