Testing for structural stability in the whole sample

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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.identifier.issn 2340-5031
dc.identifier.uri http://hdl.handle.net/10016/16249
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.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.uri http://creativecommons.org/licenses/by-nc-nd/3.0/es/
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 workingPaper
dc.subject.jel C12
dc.subject.jel C32
dc.subject.eciencia Economía
dc.rights.accessRights openAccess
dc.type.version submitedVersion
dc.identifier.repec we1236
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