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Testing for Structural Change in the Presence of Auxiliary Models

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 and derive 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 instrumentale 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 opportunités d'inférence. Dans ce papier, 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 CREFE, Université du Québec à Montréal in its series Cahiers de recherche CREFE / CREFE Working Papers with number 133.

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Length: 32 pages
Date of creation: Jun 2001
Date of revision:
Handle: RePEc:cre:crefwp:133
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  1. 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.
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  12. Davidson, James, 1994. "Stochastic Limit Theory: An Introduction for Econometricians," OUP Catalogue, Oxford University Press, number 9780198774037, March.
  13. Andrews, Donald W K & Fair, Ray C, 1988. "Inference in Nonlinear Econometric Models with Structural Change," Review of Economic Studies, Wiley Blackwell, vol. 55(4), pages 615-39, October.
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  20. repec:cup:etheor:v:12:y:1996:i:4:p:657-81 is not listed on IDEAS
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  26. 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.
  27. Tauchen, George E. & Gallant, A. Ronald, 1995. "Which Moments to Match," Working Papers 95-20, Duke University, Department of Economics.
  28. Victor Fenton & Gallant, A. Ronald, 1996. "Qualitative and Asymptotic Performance of SNP Density Estimators," Working Papers 96-17, Duke University, Department of Economics.
  29. Herman J. Bierens & Werner Ploberger, 1997. "Asymptotic Theory of Integrated Conditional Moment Tests," Econometrica, Econometric Society, vol. 65(5), pages 1129-1152, September.
  30. Gourieroux, C. & Monfort, A. & Renault, E., 1992. "Indirect Inference," Papers 92.279, Toulouse - GREMAQ.
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