Publication:
External Bootstrap Tests for Parameter stability

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dc.affiliation.dptoUC3M. Departamento de Economíaes
dc.contributor.authorDelgado, Miguel A.
dc.contributor.authorFiteni, Inmaculada
dc.date.accessioned2009-07-17T11:36:01Z
dc.date.available2009-07-17T11:36:01Z
dc.date.issued2002
dc.description.abstractThis article considers tests for parameter stability over time in general econometric models, possibly nonlinear-in-variables. Existing test statistics are commonly not asymptotically pivotal under nonstandard conditions. In such cases, the external bootstrap tests proposed in this paper are appealing from a practical viewpoint. We propose to use bootstrap versions of the asymptotic critical values based on a first-order asymptotic expansion of the test statistics under the null hypothesis, which consists of a linear transformation of the unobserved ?innovations? partial sum process. The nature of these transformations under nonstandard conditions is discussed for the main testing principles. Also, we investigate the small sample performance of the proposed bootstrap tests by means of a small Monte Carlo experiment.
dc.description.statusPublicado
dc.format.mimetypetext/plain
dc.format.mimetypeapplication/pdf
dc.identifier.bibliographicCitationJournal of Econometrics, 2002, vol. 109, nº 2, p. 275-303
dc.identifier.doi10.1016/S0304-4076(02)00115-X
dc.identifier.issn0304-4076
dc.identifier.urihttps://hdl.handle.net/10016/2489
dc.language.isoeng
dc.publisherElsevier
dc.relation.publisherversionhttp://dx.doi.org/10.1016/S0304-4076(02)00115-X
dc.rights.accessRightsopen access
dc.subject.ecienciaEconomía
dc.subject.jelC22
dc.subject.otherStructural stability tests
dc.subject.otherNonlinear-in-variables models
dc.subject.otherEmpirical processes
dc.subject.otherGMM
dc.subject.otherExternal bootstrap
dc.titleExternal Bootstrap Tests for Parameter stability
dc.typeresearch article*
dc.type.reviewPeerReviewed
dspace.entity.typePublication
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