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Testing for Structural Change in the Presence of Auxiliary Models

  • Eric Ghysels
  • Alain Guay

Several estimation procedures such as the Efficient Method of Moments (EMM) of Gallant and Tauchen (1996) and Indirect Inference procedure of Gouriéroux, Monfort and Renault (1993) 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, LM and LR-type tests. In this paper we present the asymptotic distribution theory for various classes of tests for structural change. Some procedures are extensions of standard tests while others are specific to the dual model setup and exploit its unique features. Plusieurs méthodes d'estimation nécessitent un modèle instrumental et un modèle d'intérêt. On retrouve parmi ces méthodes la méthode des moments efficace de Gallant et Tauchen (1996) et l'Inférence Indirecte proposée par Gouriéroux, Monfort et Renault (1993). La présence de ces deux modèles procure de nouvelles occasions d'inférence. Dans cet article, on présente et dérive la loi asymptotique de différents tests de changement structurel. Certaines procédures sont des extensions de tests standards tandis que d'autres sont spécifiquement adaptées à la présence des deux modèles.

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Paper provided by CIRANO in its series CIRANO Working Papers with number 2001s-54.

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Length: 41 pages
Date of creation: 01 Sep 2001
Date of revision:
Handle: RePEc:cir:cirwor:2001s-54
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  1. Kenneth D. West & Whitney K. Newey, 1995. "Automatic Lag Selection in Covariance Matrix Estimation," NBER Technical Working Papers 0144, National Bureau of Economic Research, Inc.
  2. Eric Guysels & Alain Guay, 1998. "Structural Change Tests for Simulated Method of Moments," Cahiers de recherche CREFE / CREFE Working Papers 61, CREFE, Université du Québec à Montréal.
  3. Andrews, Donald W K, 1994. "The Large Sample Correspondence between Classical Hypothesis Tests and Bayesian Posterior Odds Tests," Econometrica, Econometric Society, vol. 62(5), pages 1207-32, September.
  4. Ghysels, E. & Guay, A. & Hall, A., 1995. "Predictive Tests for Structural Change with Unknown Breakpoint," Cahiers de recherche 9524, Universite de Montreal, Departement de sciences economiques.
  5. de Jong, Robert M., 1996. "The Bierens test under data dependence," Journal of Econometrics, Elsevier, vol. 72(1-2), pages 1-32.
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  9. Victor Fenton & Gallant, A. Ronald, 1996. "Qualitative and Asymptotic Performance of SNP Density Estimators," Working Papers 96-17, Duke University, Department of Economics.
  10. Hall, Alastair R & Sen, Amit, 1999. "Structural Stability Testing in Models Estimated by Generalized Method of Moments," Journal of Business & Economic Statistics, American Statistical Association, vol. 17(3), pages 335-48, July.
  11. Gourieroux, C & Monfort, A & Renault, E, 1993. "Indirect Inference," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 8(S), pages S85-118, Suppl. De.
  12. Newey, W.K., 1989. "Uniform Convergence In Probability And Stochastic Equicontinuity," Papers 342, Princeton, Department of Economics - Econometric Research Program.
  13. Dufour, Jean-Marie & Ghysels, Eric & Hall, Alastair, 1994. "Generalized Predictive Tests and Structural Change Analysis in Econometrics," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 35(1), pages 199-229, February.
  14. Ghysels, E & Hall, A., 1988. "A Test For Structural Stability Of Euler Conditions Parameters Estimated Via The Generalized Methods Of Moments Estimators," Cahiers de recherche 8837, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  15. McFadden, Daniel, 1989. "A Method of Simulated Moments for Estimation of Discrete Response Models without Numerical Integration," Econometrica, Econometric Society, vol. 57(5), pages 995-1026, September.
  16. Sowell, Fallaw, 1996. "Optimal Tests for Parameter Instability in the Generalized Method of Moments Framework," Econometrica, Econometric Society, vol. 64(5), pages 1085-1107, September.
  17. Hoffman, D. & Pagan, A., 1988. "Post-Sample Prediction Tests For Generalized Method Of Moment Estimators," RCER Working Papers 129, University of Rochester - Center for Economic Research (RCER).
  18. Kodde, D A & Palm, Franz C & Pfann, G A, 1990. "Asymptotic Least-Squares Estimation Efficiency Considerations and Applications," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 5(3), pages 229-43, July-Sept.
  19. Donald W.K. Andrews, 1990. "Generic Uniform Convergence," Cowles Foundation Discussion Papers 940, Cowles Foundation for Research in Economics, Yale University.
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  23. Gallant, Ronald & Tauchen, George, 1989. "Seminonparametric Estimation of Conditionally Constrained Heterogeneous Processes: Asset Pricing Applications," Econometrica, Econometric Society, vol. 57(5), pages 1091-1120, September.
  24. Pakes, Ariel & Pollard, David, 1989. "Simulation and the Asymptotics of Optimization Estimators," Econometrica, Econometric Society, vol. 57(5), pages 1027-57, September.
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  27. repec:cup:etheor:v:8:y:1992:i:2:p:241-57 is not listed on IDEAS
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