GENSTEST: Stata module to perform generalized S tests for models in the generalized method of moments framework

Zach Flynn and Leandro Magnusson

Statistical Software Components from Boston College Department of Economics

Abstract: genstest implements four types of generalized S tests: the average (ave-) S test, the exponential (exp-) S test, the supremum (sup-) S test, and the quasi local level (qLL-) S test. The first three tests are here referred to collectively as the "single-break" tests because each is derived under the assumption that there is a single-break date in the data-generating process for the endogenous variables. The fourth test, the qLL-S test, is derived by assuming that the instability of the moments is described as a difference martingale sequence.

Language: Stata
Requires: Stata version 13
Keywords: time series; S tests; breakpoint tests; GMM (search for similar items in EconPapers)
Date: 2020-02-28
Note: This module may be installed from within Stata by typing "ssc install genstest". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
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http://fmwww.bc.edu/repec/bocode/g/genstest.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/g/genstest.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/c/crit_values.matrix lookup table (application/x-stata)

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