OPTIMAL TESTS FOR NESTED MODEL SELECTION WITH UNDERLYING PARAMETER INSTABILITY

DOI10.1017/S0266466605050486zbMath1081.62110MaRDI QIDQ3375347

Barbara Rossi

Publication date: 8 March 2006

Published in: Econometric Theory (Search for Journal in Brave)

zbMATH Keywords

Lagrange multiplier test

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20) Hypothesis testing in multivariate analysis (62H15)

Related Items (8)

Estimation and testing of Euler equation models with time-varying reduced-form coefficients ⋮ Trend of commodity prices and exchange rate in Australian economy: time varying parameter model approach ⋮ Conditional predictive density evaluation in the presence of instabilities ⋮ Lag length and mean break in stationary VAR models ⋮ MODEL COMPARISONS IN UNSTABLE ENVIRONMENTS ⋮ ARE EXCHANGE RATES REALLY RANDOM WALKS? SOME EVIDENCE ROBUST TO PARAMETER INSTABILITY ⋮ Robust inference for predictability in smooth transition predictive regressions ⋮ The power of tests of predictive ability in the presence of structural breaks

Cites Work

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• Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
• Estimating and Testing Linear Models with Multiple Structural Changes
• Optimal Tests for Parameter Instability in the Generalized Method of Moments Framework

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