Structural change tests for GEL criteria

Alain Guay and Jean-François Lamarche

Econometric Reviews, 2018, vol. 37, issue 9, 1000-1032

Abstract: This article examines structural change tests based on generalized empirical likelihood methods in the time series context, allowing for dependent data. Standard structural change tests for the Generalized method of moments (GMM) are adapted to the generalized empirical likelihood (GEL) context. We show that when moment conditions are properly smoothed, these test statistics converge to the same asymptotic distribution as in the GMM, in cases with known and unknown breakpoints. New test statistics specific to GEL methods, and that are robust to weak identification, are also introduced. A simulation study examines the small sample properties of the tests and reveals that GEL-based robust tests performed well, both in terms of the presence and location of a structural change and in terms of the nature of identification.

Date: 2018
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Working Paper: Structural change tests for GEL criteria (2010)
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DOI: 10.1080/00927872.2016.1178893

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