Testing for Structural Instability in Moment Restriction Models: An Info-Metric Approach

DOI10.1080/07474938.2014.944477zbMath1491.62215OpenAlexW2097012633MaRDI QIDQ5080512

Arthur Sinko, Yuyi Li, Alastair R. Hall, Chris D. Orme

Publication date: 31 May 2022

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

Full work available at URL: https://doi.org/10.1080/07474938.2014.944477

zbMATH Keywords

generalized empirical likelihoodstructural instabilityparameter variationmoment condition models

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Parametric hypothesis testing (62F03)

Related Items (2)

Structural change tests for GEL criteria ⋮ A multifactor transformed diffusion model with applications to VIX and VIX futures

Cites Work

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