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Tests for Parameter Instability and Structural Change with Unknown Change Point

Donald Andrews ()

Econometrica, 1993, vol. 61, issue 4, 821-56

Abstract: This paper considers tests for parameter instability and structural change with unknown change point. The results apply to a wide class of parametric models that are suitable for estimation by generalized method of moments procedures. The asymptotic distributions of the test statistics considered here are nonstandard because the change point parameter only appears under the alternative hypothesis and not under the null. The tests considered here are shown to have nontrivial asymptotic local power against all alternatives for which the parameters are nonconstant. The tests are found to perform quite well in a Monte Carlo experiment reported elsewhere. Copyright 1993 by The Econometric Society.

Date: 1993
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Working Paper: Tests for Parameter Instability and Structural Change with Unknown Change Point (1990) Downloads
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