Kernel smoothing end of sample instability tests P values
A Monte Carlo investigation shows that the rejection probability of the structural stability test of Andrews (2003) depends on several characteristics of the DGP, one of which is the length of the hypothesized break period. This is analyzed and found to be caused, at least in part, by the fact that the number of subsampling statistics used to compute the P value depends on the sample size and the length of the break period. Simulations show that kernel smoothed P values provide more accurate tests in small samples.
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"Generalized Predictive Tests and Structural Change Analysis in Econometrics,"
Cahiers de recherche
9223, Universite de Montreal, Departement de sciences economiques.
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- Dufour, J.M. & Ghysels, E. & Hall, A., 1992. "Generalized Predictive Tests and Structural Change Analysis in Econometrics," Cahiers de recherche 9223, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
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1036, Queen's University, Department of Economics.
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Cowles Foundation Discussion Papers
1369, Cowles Foundation for Research in Economics, Yale University.
- Jeff Racine & James G. MacKinnon, 2006.
"Inference via kernel smoothing of bootstrap P values,"
1054, Queen's University, Department of Economics.
- Racine, Jeffrey S. & MacKinnon, James G., 2007. "Inference via kernel smoothing of bootstrap P values," Computational Statistics & Data Analysis, Elsevier, vol. 51(12), pages 5949-5957, August.
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