Structural change tests for GEL criteria
| Autor: | Jean-Francois Lamarche, Alain Guay |
|---|---|
| Rok vydání: | 2010 |
| Předmět: |
Economics and Econometrics
Series (mathematics) 05 social sciences Asymptotic distribution jel:C12 Context (language use) jel:C32 Generalized empirical likelihood generalized method of moments parameter instability structural change weak identification 01 natural sciences Moment (mathematics) 010104 statistics & probability Identification (information) Empirical likelihood 0502 economics and business Econometrics ddc:330 0101 mathematics 050205 econometrics Statistical hypothesis testing Mathematics Generalized method of moments |
| Popis: | This article examines structural change tests based on generalized empirical likelihood methods in the time series context, allowing for dependent data. Standard structural change tests for the Generalized method of moments (GMM) are adapted to the generalized empirical likelihood (GEL) context. We show that when moment conditions are properly smoothed, these test statistics converge to the same asymptotic distribution as in the GMM, in cases with known and unknown breakpoints. New test statistics specific to GEL methods, and that are robust to weak identification, are also introduced. A simulation study examines the small sample properties of the tests and reveals that GEL-based robust tests performed well, both in terms of the presence and location of a structural change and in terms of the nature of identification. |
| Databáze: | OpenAIRE |
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