IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login to save this paper or follow this series

Optimal Predictive Tests and a Simulation Study

This paper shows that predictive tests for structural change with unknown breakpoint are optimal tests such as defined by Sowell (1996a, 1996b). Optimal predictive tests for parameter instability and overidentifying restrictions stability are proposed. An optimal predictive test for parameter instability of a subset of moment conditions with unknown breakpoint is also introduced. The finite sample properties of LM, Wald, LR-type and predictive tests for parameters instability are studied via a simulation study. Dans cet article, nous montrons que les tests de type prédictif pour détecter des changements structurels sont des tests optimaux selon la définition de Sowell (1996a, 1996b). Des tests prédictifs optimaux sont proposés pour détecter l'instabilité des paramètres et des conditions de suridentification. Un test optimal de stabilité d'un sous-emsemble des conditions de moments est également introduit. Une étude de Monte-Carlo compare le comportement en petit échantillon des tests Wald LR, LM et prédictif.

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://www.unites.uqam.ca/eco/CREFE/cahiers/cah142.ps
Our checks indicate that this address may not be valid because: 404 Not Found (http://www.unites.uqam.ca/eco/CREFE/cahiers/cah142.ps [301 Moved Permanently]--> http://www.economie.uqam.ca/CREFE/cahiers/cah142.ps [301 Moved Permanently]--> http://economie.esg.uqam.ca/CREFE/cahiers/cah142.ps). If this is indeed the case, please notify (Stéphane Pallage)


File Function: Main text
Download Restriction: no

File URL: http://www.unites.uqam.ca/eco/CREFE/cahiers/cah142.pdf
Our checks indicate that this address may not be valid because: 500 Internal Server Error (http://www.unites.uqam.ca/eco/CREFE/cahiers/cah142.pdf [301 Moved Permanently]--> http://www.economie.uqam.ca/CREFE/cahiers/cah142.pdf [301 Moved Permanently]--> http://economie.esg.uqam.ca/CREFE/cahiers/cah142.pdf). If this is indeed the case, please notify (Stéphane Pallage)


File Function: Main text
Download Restriction: no

Paper provided by CREFE, Université du Québec à Montréal in its series Cahiers de recherche CREFE / CREFE Working Papers with number 142.

as
in new window

Length: 28 pages
Date of creation: Oct 2001
Date of revision:
Handle: RePEc:cre:crefwp:142
Contact details of provider: Postal: P.O. Box 8888, Downtown Station, Montreal (Canada) Quebec, H3C 3P8
Phone: (514) 987-6181
Fax: (514) 987-8494
Web page: http://ideas.uqam.ca/CREFE/
Email:


More information through EDIRC

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

as in new window
  1. Fallaw Sowell, . "Tests for Violations of Moment Conditions," GSIA Working Papers 21, Carnegie Mellon University, Tepper School of Business.
Full references (including those not matched with items on IDEAS)

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:cre:crefwp:142. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Stéphane Pallage)

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.