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 |
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