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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. de Jong, Robert M., 1996. "The Bierens test under data dependence," Journal of Econometrics, Elsevier, vol. 72(1-2), pages 1-32.
  2. Donald W.K. Andrews, 1990. "Generic Uniform Convergence," Cowles Foundation Discussion Papers 940, Cowles Foundation for Research in Economics, Yale University.
  3. Ghysels, E. & Guay, A. & Hall, A., 1995. "Predictive Tests for Structural Change with Unknown Breakpoint," Cahiers de recherche 9524, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  4. 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.
  5. 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.
  6. Donald W.K. Andrews, 1992. "The Large Sample Correspondence Between Classical Hypothesis Tests and Bayesian Posterior Odds Tests," Cowles Foundation Discussion Papers 1035, Cowles Foundation for Research in Economics, Yale University.
  7. Gourieroux, C. & Monfort, A. & Renault, E., 1992. "Indirect Inference," Papers 92.279, Toulouse - GREMAQ.
  8. Eric Ghysels & Alain Guay, 1998. "Structural Change Tests for Simulated Method of Moments," CIRANO Working Papers 98s-19, CIRANO.
  9. Victor Fenton & Gallant, A. Ronald, 1996. "Qualitative and Asymptotic Performance of SNP Density Estimators," Working Papers 96-17, Duke University, Department of Economics.
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  11. Donald W.K. Andrews, 1990. "Tests for Parameter Instability and Structural Change with Unknown Change Point," Cowles Foundation Discussion Papers 943, Cowles Foundation for Research in Economics, Yale University.
  12. 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.
  13. 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.
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  18. Davidson, James, 1994. "Stochastic Limit Theory: An Introduction for Econometricians," OUP Catalogue, Oxford University Press, number 9780198774037, July.
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  30. Pieter J. van der Sluis, 1998. "Structural Stability Tests with Unknown Breakpoint for the Efficient Method of Moments with Application to Stochastic Volatility Models," Tinbergen Institute Discussion Papers 98-055/4, Tinbergen Institute.
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