Structural change tests based on implied probabilities for GEL criteria

Alain Guay and Jean-Francois Lamarche ()

No 904, Working Papers from Brock University, Department of Economics

Abstract: This paper proposes Pearson-type statistics based on implied probabilities to detect structural change. The class of generalized empirical likelihood estimators (see Smith (1997)) assigns a set of implied probabilities to each observation such that moment conditions are satisfied. The proposed test statistics for structural change are based on the information content in these implied probabilities. We consider cases of structural change with unknown breakpoint which can occur in the parameters of interest or in the overidentifying restrictions used to estimate these parameters. We also propose a structural change test based on implied probabilities that is robust to weak identification or cases in which parameters are completely unidentified. The test statistics considered here have competitive size and power properties. Moreover, they are computed in a single step which eliminates the need to compute the weighting matrix required for GMM estimation.

Keywords: Generalized empirical likelihood; generalized method of moments; parameter instability; structural change (search for similar items in EconPapers)
JEL-codes: C12 C32 (search for similar items in EconPapers)
Pages: 53 pages
Date: 2009-05, Revised 2011-05
New Economics Papers: this item is included in nep-ecm
References: Add references at CitEc
Citations:

Forthcoming in Econometric Theory

Downloads: (external link)
https://brocku.ca/repec/pdf/0904.pdf First version, 2009 (application/pdf)
https://brocku.ca/repec/pdf/0904r.pdf Revised version, 2011 (application/pdf)

Related works:
Journal Article: STRUCTURAL CHANGE TESTS BASED ON IMPLIED PROBABILITIES FOR GEL CRITERIA (2012)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:brk:wpaper:0904

Access Statistics for this paper

More papers in Working Papers from Brock University, Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by Jean-Francois Lamarche ().