IDEAS home Printed from
   My bibliography  Save this paper

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.

Suggested Citation

  • Alain Guay, 2001. "Optimal Predictive Tests and a Simulation Study," Cahiers de recherche CREFE / CREFE Working Papers 142, CREFE, Université du Québec à Montréal.
  • Handle: RePEc:cre:crefwp:142

    Download full text from publisher

    File URL:
    File Function: Main text
    Download Restriction: no

    File URL:
    File Function: Main text
    Download Restriction: no

    References listed on IDEAS

    1. Fallaw Sowell, "undated". "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)

    More about this item


    Generalized method of moments; structural stability testing; optimal tests;

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

    NEP fields

    This paper has been announced in the following NEP Reports:


    Access and download statistics


    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. 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). General contact details of provider: .

    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 CitEc recognized a reference but did not link an item in RePEc 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 RePEc Author Service 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.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.