Optimal Tests for Parameter Instability in the Generalized Method of Moments Framework

Fallaw Sowell

114 citations0/0 files storedEconometrica

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Monetary Policy and Economic Impact Statistical Methods and Inference Advanced Statistical Methods and Models

Abstract

This paper presents optimal tests for parameter instability in the generalized method of moments (GMM) framework. The new tests include tests that are optimal for both one-sided and two-sided alternatives. One of the optimal tests for two-sided alternatives is the GMM generalization of the test presented in Andrews and Ploberger (1994) for the likelihood framework. The new tests include a class of optimal tests that direct the test's power to specific locations in the sample. One of these optimal tests has the attractive feature of a normal distribution under the null hypothesis. Copyright 1996 by The Econometric Society.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 114 citations exist upstream.

References

1996Testing structural stability with endogenous breakpoint A size comparison of analytic and bootstrap procedures

Cited by

2004SEQUENTIAL CHANGE-POINT DETECTION IN GARCH(p,q) MODELS 2001TESTING FOR DISTRIBUTIONAL CHANGE IN TIME SERIES 1998Predictive tests for structural change with unknown breakpoint 1998The Equity Premium and Structural Breaks 2012Inference regarding multiple structural changes in linear models with endogenous regressors 1999Structural Stability Testing in Models Estimated by Generalized Method of Moments 2012Chi-squared tests for evaluation and comparison of asset pricing models 2014Identification Using Stability Restrictions

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

Imported from OpenAlex (CC0) — nothing here is generated.