The limiting distribution of post-sample stability tests for GMM estimation when the potential break date is unknown

Oxford Bulletin of Economics and Statistics

Volumn 59, Issue 2, 1997, Pages 299-303

  Wright, Jonathan H ^a  

^a HARVARD UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 17744397193     PISSN: 03059049     EISSN: None     Source Type: Journal    
DOI: 10.1111/1468-0084.00066     Document Type: Article

References (5)

1. Andrews, D. W. K. (1993). 'Tests for Parameter Instability and Structural Change with Unknown Change Point', Econometrica, Vol. 61, pp. 821-56.
2. Billingsley, P. (1968). Convergence of Probability Measures, Wiley, New York.
3. Ghysels, E. and Hall, A. (1990). 'Test for Structural Stability of Euler Conditions Parameters Estimated via the Generalized Method of Moments Estimator', International Economic Review, Vol. 31, pp. 355-64.
4. Hoffman, D. and Pagan, A. (1989). 'Post-Sample Prediction Tests for Generalized Method of Moments Estimators', BULLETIN, Vol. 51, pp. 333-43.
5. Oliner, S.D., Rudebusch, G. D. and Sichel, D. (1996). 'The Lucas Critique Revisited: Assessing the Stability of Empirical Euler Equations for Investment', Journal of Econometrics, Vol. 70, pp. 291-316.