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Testing for Structural Stability in the Whole Sample

Author

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  • Javier Hidalgo
  • Myung Hwan Seo

Abstract

The paper examines a Lagrange Multiplier type test for the constancy of the parameter in general models with dependent data without imposing any arti…cial 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 …nite sample performance of the test and how it compares with tests which assume some knowledge of the possible location of the break.

Suggested Citation

  • Javier Hidalgo & Myung Hwan Seo, 2012. "Testing for Structural Stability in the Whole Sample," STICERD - Econometrics Paper Series 561, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  • Handle: RePEc:cep:stiecm:561
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    File URL: http://sticerd.lse.ac.uk/dps/em/em561.pdf
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    References listed on IDEAS

    as
    1. Shao, Q. M., 1995. "Strong Approximation Theorems for Independent Random Variables and Their Applications," Journal of Multivariate Analysis, Elsevier, vol. 52(1), pages 107-130, January.
    2. D. W. K. Andrews, 2003. "End-of-Sample Instability Tests," Econometrica, Econometric Society, vol. 71(6), pages 1661-1694, November.
    3. Andrews, Donald W K, 1993. "Tests for Parameter Instability and Structural Change with Unknown Change Point," Econometrica, Econometric Society, vol. 61(4), pages 821-856, July.
    4. P. M. Robinson, 1998. "Inference-Without-Smoothing in the Presence of Nonparametric Autocorrelation," Econometrica, Econometric Society, vol. 66(5), pages 1163-1182, September.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    Structural Stability; GMM estimation; Strong approximation; Extreme value distribution.;

    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

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