Testing for structural stability in the whole sample

Javier Hidalgo-Moreno and Myung Hwan Seo

UC3M Working papers. Economics from Universidad Carlos III de Madrid. Departamento de Economía

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; 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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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:cte:werepe:we1236

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