Hidalgo-Moreno, JavierSeo, Myung HwanUniversidad Carlos III de Madrid. Departamento de Economía2013-02-122013-02-122012-092340-5031https://hdl.handle.net/10016/16249The 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.application/pdfengAtribución-NoComercial-SinDerivadas 3.0 EspañaStructural stabilityGMMStrong approximationExtreme value distributionworking paperC12C32Economíaopen accesswe1236