Testing for Structural Change in the Presence of Auxiliary Models

Eric Ghysels () and Alain Guay ()

No 133, Cahiers de recherche CREFE / CREFE Working Papers from CREFE, Université du Québec à Montréal

Abstract: Several estimation procedures such as the Efficient Method of Moments (EMM) of Gallant and Tauchen (1996) and Indirect Inference procedure of Gouriéroux, Monfort and Renault (1993) 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, LM and LR-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 while others are specific to the dual model setup and exploit its unique features.

Plusieurs méthodes d'estimation nécessitent un modèle instrumentale et un modèle d'intérêt. On retrouve parmi ces méthodes; la méthode des moments efficace de Gallant et Tauchen (1996) et l'Inférence Indirecte proposée par Gouriéroux, Monfort et Renault (1993). La présence de ces deux modèles procure de nouvelles opportunités d'inférence. Dans ce papier, on présente et dérive la loi asymptotique de différents tests de changement structurel. Certaines procédures sont des extensions de tests standards tandis que d'autres sont spécifiquement adaptées à la présence des deux modèles.

Keywords: Simulated methods of estimation; structural stability testing; optimal tests (search for similar items in EconPapers)
JEL-codes: C1 C12 C22 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm
Date: 2001-06
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Working Paper: Testing for Structural Change in the Presence of Auxiliary Models (2001)
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