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 arti…cial 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 …nite 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)
JEL-codes: C12 C32 (search for similar items in EconPapers)
Date: 2012-09
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https://sticerd.lse.ac.uk/dps/em/em561.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 (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:cep:stiecm:561

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