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Testing for structural stability in the whole sample

Hidalgo, Javier and Seo, Myung Hwan (2013) Testing for structural stability in the whole sample. Journal of Econometrics, 175 (2). pp. 84-93. ISSN 0304-4076

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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.

Item Type: Article
Official URL: http://www.journals.elsevier.com/journal-of-econom...
Additional Information: © 2013 Elsevier B.V.
Library of Congress subject classification: H Social Sciences > HB Economic Theory
Sets: Departments > Economics
Research centres and groups > Suntory and Toyota International Centres for Economics and Related Disciplines (STICERD)
Rights: http://www.lse.ac.uk/library/usingTheLibrary/academicSupport/OA/depositYourResearch.aspx
Funders: Catedra of Excellence by the Bank of Santander
Date Deposited: 10 May 2013 11:05
URL: http://eprints.lse.ac.uk/50128/

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