Econometrica · 1996 · 119 citations · 5 references
Numerical AnalysisParameter EstimationEngineeringRobustness TestingStabilityParameter IdentificationNumerical StabilityParameter InstabilityOptimal TestsStatisticsStability AnalysisGmm FrameworkEconomicsMoments FrameworkFinanceRegression TestingBacktestingBusinessEconometricsStatistical Inference
This paper presents optimal tests for parameter instability in the GMM framework. The new tests include tests that are optimal for both one-sided and two-sided alternatives. One of the optimal tests for two-sided alternatives is the GMM generalization of the test presented in Andrews and Ploberger (1994) for the likelihood framework. The new tests include a class of optimal tests that direct the test's power to specific locations in the sample. One of these optimal tests has the attractive feature of a normal distribution under the null hypothesis.
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