Optimal Tests for Parameter Instability in the Generalized Method of Moments Framework

DOI10.2307/2171957zbMath0859.62060OpenAlexW2034489282MaRDI QIDQ4895057

Fallaw B. Sowell

Publication date: 9 April 1997

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/2171957

zbMATH Keywords

stochastic differential equationBrownian motiongeneralized method of momentsBrownian bridgenormal distributionRadon-Nikodym derivativeNeyman-Pearson lemmaoptimal testsparameter instabilitymultivariate invariance principle

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20) Hypothesis testing in multivariate analysis (62H15) Non-Markovian processes: hypothesis testing (62M07)

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