Approximate \(p\)-values of predictive tests for structural stability

DOI10.1016/S0165-1765(99)00031-2zbMath1009.62595OpenAlexW2038490951MaRDI QIDQ1292328

Amit Sen

Publication date: 21 June 1999

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0165-1765(99)00031-2

zbMATH Keywords

structural stabilityGMMpredictive test

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Related Items (1)

Approximate p-Values of Certain Tests Involving Hypotheses About Multiple Breaks

Uses Software

• nlmdl

Cites Work

• Unnamed Item
• Large Sample Properties of Generalized Method of Moments Estimators
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Are consumption-based intertemporal capital asset pricing models structural?
• Predictive tests for structural change with unknown breakpoint
• Tests for Parameter Instability and Structural Change With Unknown Change Point
• A Test for Structural Stability of Euler Conditions Parameters Estimated Via the Generalized Method of Moments Estimator
• Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models
• Automatic Lag Selection in Covariance Matrix Estimation

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