The Limiting Distribution of Post-sample Stability Tests for GMM Estimation When the Potential Break Date Is Unknown

Jonathan Wright

Oxford Bulletin of Economics and Statistics, 1997, vol. 59, issue 2, 299-303

Abstract: Recent papers have proposed a split-sample prediction method to test for structural stability in GMM estimation when the potential break date is treated as known. In this note, the author derives the limiting distribution of the supremum of this test over all possible break dates, thus allowing for endogenous determination of the potential break date. Copyright 1997 by Blackwell Publishing Ltd

Date: 1997
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