Testing for structural stability in the whole sample

Hidalgo-Moreno, Javier; Seo, Myung Hwan

Publication:
Testing for structural stability in the whole sample

dc.affiliation.dpto	UC3M. Departamento de Economía	es
dc.contributor.author	Hidalgo-Moreno, Javier
dc.contributor.author	Seo, Myung Hwan
dc.contributor.editor	Universidad Carlos III de Madrid. Departamento de Economía
dc.date.accessioned	2013-02-12T13:26:49Z
dc.date.available	2013-02-12T13:26:49Z
dc.date.issued	2012-09
dc.description.abstract	The paper examines a Lagrange Multiplier type test for the constancy of the parameter in general models with dependent data without imposing any artificial choice of the possible location of the break. In order to prove the asymptotic behaviour of the test, we extend a strong approximation result for partial sums of a sequence of random variables. We also present a Monte-Carlo experiment to examine the finite sample performance of the test and how it compares with tests which assume some knowledge of the possible location of the break.
dc.description.sponsorship	The rst author gratefully acknowledges the research support by a Catedra of Excellence by the Bank of Santander.
dc.format.mimetype	application/pdf
dc.identifier.issn	2340-5031
dc.identifier.repec	we1236
dc.identifier.uri	https://hdl.handle.net/10016/16249
dc.language.iso	eng
dc.relation.ispartofseries	UC3M Working papers. Economics
dc.relation.ispartofseries	12-36
dc.rights	Atribución-NoComercial-SinDerivadas 3.0 España
dc.rights.accessRights	open access
dc.rights.uri	http://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.subject.eciencia	Economía
dc.subject.jel	C12
dc.subject.jel	C32
dc.subject.other	Structural stability
dc.subject.other	GMM
dc.subject.other	Strong approximation
dc.subject.other	Extreme value distribution
dc.title	Testing for structural stability in the whole sample
dc.type	working paper	*
dc.type.hasVersion	SMUR	*
dspace.entity.type	Publication