Robust GMM tests for structural breaks

Journal of Econometrics

Volumn 129, Issue 1-2, 2005, Pages 139-182

  Gagliardini, Patrick ^a,b   Trojani, Fabio ^a,b   Urga, Giovanni ^c  

^a UNIVERSITY OF LUGANO   (Switzerland)

^b UNIVERSITY OF ST GALLEN   (Switzerland)

^c CITY UNIVERSITY   (United Kingdom)

Author keywords

Bootstrap; Generalized method of moment; Monte Carlo; Robust tests; Structural breaks

Indexed keywords

ASYMPTOTIC STABILITY; COMPUTER SIMULATION; MATHEMATICAL MODELS; MONTE CARLO METHODS; STATISTICAL TESTS;

BOOTSTRAP; GENERALIZED METHOD OF MOMENT (GMM); ROBUST TESTS; STRUCTURAL BREAKS;

METHOD OF MOMENTS;

EID: 26844465608     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2004.09.006     Document Type: Article

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