IDEAS home Printed from https://ideas.repec.org/p/brk/wpaper/0904.html
   My bibliography  Save this paper

Structural change tests based on implied probabilities for GEL criteria

Author

Listed:
  • Alain Guay

    () (Department of Economics, Universite du Quebec a Montreal)

  • Jean-Francois Lamarche

    () (Department of Economics, Brock University)

Abstract

This paper proposes Pearson-type statistics based on implied probabilities to detect structural change. The class of generalized empirical likelihood estimators (see Smith (1997)) assigns a set of implied probabilities to each observation such that moment conditions are satisfied. The proposed test statistics for structural change are based on the information content in these implied probabilities. We consider cases of structural change with unknown breakpoint which can occur in the parameters of interest or in the overidentifying restrictions used to estimate these parameters. We also propose a structural change test based on implied probabilities that is robust to weak identification or cases in which parameters are completely unidentified. The test statistics considered here have competitive size and power properties. Moreover, they are computed in a single step which eliminates the need to compute the weighting matrix required for GMM estimation.

Suggested Citation

  • Alain Guay & Jean-Francois Lamarche, 2009. "Structural change tests based on implied probabilities for GEL criteria," Working Papers 0904, Brock University, Department of Economics, revised May 2011.
  • Handle: RePEc:brk:wpaper:0904
    as

    Download full text from publisher

    File URL: https://brocku.ca/repec/pdf/0904.pdf
    File Function: First version, 2009
    Download Restriction: no

    File URL: https://brocku.ca/repec/pdf/0904r.pdf
    File Function: Revised version, 2011
    Download Restriction: no

    Other versions of this item:

    More about this item

    Keywords

    Generalized empirical likelihood; generalized method of moments; parameter instability; structural change;

    JEL classification:

    • 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; State Space Models

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:brk:wpaper:0904. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Jean-Francois Lamarche). General contact details of provider: http://edirc.repec.org/data/debroca.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.