Structural change tests for GEL criteria
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- Alain Guay & Jean-Francois Lamarche, 2005.
"The Information Content of Implied Probabilities to Detect Structural Change,"
0804, Brock University, Department of Economics, revised Oct 2008.
- Alain Guay & Jean-François Lamarche, 2008. "The Information Content of Implied Probabilities to Detect Structural Change," Cahiers de recherche 0833, CIRPEE.
- Alastair R. Hall & Yuyi Li & Chris D. Orme & Arthur Sinko, 2015.
"Testing for Structural Instability in Moment Restriction Models: An Info-Metric Approach,"
Taylor & Francis Journals, vol. 34(3), pages 286-327, March.
- Alastair R. Hall & Yuyi Li & Chris D. Orme, 2012. "Testing for Structural Instability in Moment Restriction Models: an Info?metric Approach," The School of Economics Discussion Paper Series 1205, Economics, The University of Manchester.
- Alastair R. Hall & Yuyi Li & Chris D. Orme & Arthur Sinko, 2013. "Testing for Structural Instability in Moment Restriction Models: an Info-metric Approach," The School of Economics Discussion Paper Series 1326, Economics, The University of Manchester.
More about this item
KeywordsGeneralized empirical likelihood; generalized method of moments; parameter instability; structural change; weak identification;
- 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
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