TESTING FOR STRUCTURAL CHANGE IN THE PRESENCE OF AUXILIARY MODELS

Eric Ghysels and Alain Guay

Econometric Theory, 2004, vol. 20, issue 06, pages 1168-1202

Abstract: Several estimation procedures such as the efficient method of moments (EMM) of Gallant and Tauchen (1996, Econometric Theory 12, 657 681) and indirect inference procedure of Gouri roux, Monfort, and Renault (1993, Journal of Applied Econometrics 8, S85 S118) involve two models, an auxiliary one and a model of interest. The role played by both models poses challenges and provides new opportunities for hypothesis testing beyond the usual Wald-, Lagrange multiplier , and likelihood ratio type tests. In this paper we present and derive the asymptotic distribution theory for various classes of tests for structural change. Some procedures are extensions of standard tests, whereas others are specific to the dual model setup and exploit its unique features.The first author gratefully acknowledges financial support from Fonds pour la Formation de Chercheurs et l aide la Recherche (FCAR). The second author acknowledges the financial support of the Natural Sciences and Engineering Research Council of Canada through a grant to NCM2 (Network for Computing and Mathematical Modeling). We also thank Alastair Hall and ric Renault for comments on an earlier draft of the paper.

Date: 2004

Downloads: (external link)
http://journals.cambridge.org/abstract_S0266466604206053 link to article abstract page (text/html)

Related works:
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: http://EconPapers.repec.org/RePEc:cup:etheor:v:20:y:2004:i:06:p:1168-1202_20

Access Statistics for this article

More articles in Econometric Theory from Cambridge University Press
Address: The Edinburgh Building, Shaftesbury Road, Cambridge CB2 2RU UK
Series data maintained by Mike Eden ().