Structural change tests for simulated method of moments.

Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).

Related Items (3)

TESTING FOR STRUCTURAL CHANGE IN THE PRESENCE OF AUXILIARY MODELS ⋮ The asymptotic properties of GMM and indirect inference under second-order identification ⋮ Moment condition tests for heavy tailed time series

Uses Software

nlmdl

Cites Work

Unnamed Item
Unnamed Item
Large Sample Properties of Generalized Method of Moments Estimators
Econometric specification of stochastic discount factor models
Simulation estimation of time-series models
Robust methods and asymptotic theory in nonlinear econometrics
A maximal inequality and dependent strong laws
Predictive tests for structural change with unknown breakpoint
Statistical methods in finance
Time to implement and aggregate fluctuations
Tests for Parameter Instability and Structural Change With Unknown Change Point
Simulated Moments Estimation of Markov Models of Asset Prices
Tests of Equality Between Sets of Coefficients in Two Linear Regressions
A Test for Structural Stability of Euler Conditions Parameters Estimated Via the Generalized Method of Moments Estimator
Consistency in Nonlinear Econometric Models: A Generic Uniform Law of Large Numbers
Estimation of Multi-Market Fix-Price Models: An Application of Pseudo Maximum Likelihood Methods
Basic structure of the asymptotic theory in dynamic nonlineaerco nometric models, part i: consistency and approximation concepts
An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
Generalized Predictive Tests and Structural Change Analysis in Econometrics
The Large Sample Correspondence between Classical Hypothesis Tests and Bayesian Posterior Odds Tests
Automatic Lag Selection in Covariance Matrix Estimation
Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
Stochastic Limit Theory
Optimal Predictive Tests
Invariance principles for dependent variables
Optimal Tests for Parameter Instability in the Generalized Method of Moments Framework
Convergence of stochastic processes
Computationally attractive stability tests for the efficient method of moments

This page was built for publication: Structural change tests for simulated method of moments.