EconPapers    
Economics at your fingertips  
 

Testing for Structural Instability in Moment Restriction Models: An Info-Metric Approach

Alastair R. Hall, Yuyi Li, Chris Orme () and Arthur Sinko

Econometric Reviews, 2015, vol. 34, issue 3, 286-327

Abstract: In this paper, we develop an info-metric framework for testing hypotheses about structural instability in nonlinear, dynamic models estimated from the information in population moment conditions. Our methods are designed to distinguish between three states of the world: (i) the model is structurally stable in the sense that the population moment condition holds at the same parameter value throughout the sample; (ii) the model parameters change at some point in the sample but otherwise the model is correctly specified; and (iii) the model exhibits more general forms of instability than a single shift in the parameters. An advantage of the info-metric approach is that the null hypotheses concerned are formulated in terms of distances between various choices of probability measures constrained to satisfy (i) and (ii), and the empirical measure of the sample. Under the alternative hypotheses considered, the model is assumed to exhibit structural instability at a single point in the sample, referred to as the break point; our analysis allows for the break point to be either fixed a priori or treated as occuring at some unknown point within a certain fraction of the sample. We propose various test statistics that can be thought of as sample analogs of the distances described above, and derive their limiting distributions under the appropriate null hypothesis. The limiting distributions of our statistics are nonstandard but coincide with various distributions that arise in the literature on structural instability testing within the Generalized Method of Moments framework. A small simulation study illustrates the finite sample performance of our test statistics.

Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3) Track citations by RSS feed

Downloads: (external link)
http://hdl.handle.net/10.1080/07474938.2014.944477 (text/html)
Access to full text is restricted to subscribers.

Related works:
Working Paper: Testing for Structural Instability in Moment Restriction Models: an Info-metric Approach (2013) Downloads
Working Paper: Testing for Structural Instability in Moment Restriction Models: an Info?metric Approach (2012) Downloads
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:34:y:2015:i:3:p:286-327

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

DOI: 10.1080/07474938.2014.944477

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 ().

 
Page updated 2021-03-28
Handle: RePEc:taf:emetrv:v:34:y:2015:i:3:p:286-327