RT Generic
T1 Testing for structural stability in the whole sample
A1 Hidalgo-Moreno, Javier
A1 Seo, Myung Hwan
A2 Universidad Carlos III de Madrid. Departamento de Economía, 
AB 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.
SN 2340-5031
YR 2012
FD 2012-09
LK https://hdl.handle.net/10016/16249
UL https://hdl.handle.net/10016/16249
LA eng
NO The  rst author gratefully acknowledges the research support by a Catedra of Excellence by the Bank of Santander.
DS e-Archivo
RD 1 sept. 2024