Optimal Predictive Tests

Alain Guay

Econometric Reviews, 2003, vol. 22, issue 4, 379-410

Abstract: This paper develops optimal tests based on sequential predictive moment conditions. We show that an appropriate weighting version of the predictive test achieves the same power as optimal structural change tests proposed by Sowell (1996a) Optimal tests for parameter instability in the generalized method of moments framework. Econometrica64:1085-1107 and (1996b) Tests for Violations of MOMENT conditions. Manuscript.Graduate School of Industrial Administration, Carnegie Mellon University. Consequently, we can apply directly Sowell's results. Optimal predictive tests for parameter instability and overidentifying restriction stability are proposed. The finite sample properties of LM, Wald, LR-type and predictive tests for parameter instability are studied via a simulation study.

Keywords: Predictive test; Optimal test; Moment conditions (search for similar items in EconPapers)
Date: 2003
References: Add references at CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.tandfonline.com/doi/abs/10.1081/ETC-120025896 (text/html)
Access to full text is restricted to subscribers.

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: https://EconPapers.repec.org/RePEc:taf:emetrv:v:22:y:2003:i:4:p:379-410

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/LECR20

DOI: 10.1081/ETC-120025896

Access Statistics for this article

Econometric Reviews is currently edited by Dr. Essie Maasoumi

More articles in Econometric Reviews from Taylor & Francis Journals
Bibliographic data for series maintained by ().