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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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Identification Number: 10.1016/j.jeconom.2013.02.008

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.
Divisions: Economics
STICERD
Subjects: H Social Sciences > HB Economic Theory
Date Deposited: 10 May 2013 11:05
Last Modified: 14 Sep 2024 05:51
Funders: Catedra of Excellence by the Bank of Santander
URI: http://eprints.lse.ac.uk/id/eprint/50128

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