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

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References

1996Testing structural stability with endogenous breakpoint A size comparison of analytic and bootstrap procedures195 cited

Cited by

2004SEQUENTIAL CHANGE-POINT DETECTION IN GARCH(p,q) MODELS143 cited
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1998Predictive tests for structural change with unknown breakpoint86 cited
1998The Equity Premium and Structural Breaks73 cited
2012Inference regarding multiple structural changes in linear models with endogenous regressors68 cited
1999Structural Stability Testing in Models Estimated by Generalized Method of Moments67 cited
2012Chi-squared tests for evaluation and comparison of asset pricing models62 cited
2014Identification Using Stability Restrictions51 cited
2019Measuring “Dark Matter” in Asset Pricing Models51 cited
2007Step-Down Analysis for Changes in the Covariance Matrix and Other Parameters50 cited
2009L’estimation de modèles avec changements structurels multiples42 cited
2007Time-Varying Coefficients in a GMM Framework: Estimation of a Forward Looking Taylor Rule for the Federal Reserve42 cited
2013Using Samples of Unequal Length in Generalized Method of Moments Estimation38 cited

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2000

The Fed's Conduct of Monetary Policy: Has it Changed and Does it Matter?

36 cited

2011Asymptotic Distribution Theory for Break Point Estimators in Models Estimated via 2SLS30 cited

2024Measuring “Dark Matter” in Asset Pricing Models28 cited