TESTING FOR STRUCTURAL STABILITY IN THE WHOLE SAMPLE

Javier Hidalgo and Myung Hwan Seo

STICERD - Econometrics Paper Series from Suntory and Toyota International Centres for Economics and Related Disciplines, LSE

Abstract: The paper examines a Lagrange Multiplier type test for the constancy of the parameter in general models with dependent data without imposing any artificial choice of the possible location of the break. In order to prove the asymptotic behaviour of the test, we extend a strong approximation result for partial sums of a sequence of random variables. We also present a Monte-Carlo experiment to examine the finite sample performance of the test and how it compares with tests which assume some knowledge of the possible location of the break..

Keywords: Structural; Stability.; GMM; estimation.; Strong; approximation.; Extreme; value; distribution. (search for similar items in EconPapers)
Date: 2011-10
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://sticerd.lse.ac.uk/dps/em/em558.pdf (application/pdf)

Related works:
Journal Article: Testing for structural stability in the whole sample (2013)
Working Paper: Testing for Structural Stability in the Whole Sample (2012)
Working Paper: Testing for structural stability in the whole sample (2012)
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:cep:stiecm:558

Access Statistics for this paper

More papers in STICERD - Econometrics Paper Series from Suntory and Toyota International Centres for Economics and Related Disciplines, LSE
Bibliographic data for series maintained by ().