Structural change tests for GEL criteria

Arbeitspapier

This paper 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 GMM are adapted to the 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.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Document de travail ; No. 2018-06

Classification and Topics

• Classification: Wirtschaft

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Guay, Alain ; Lamarche, Jean-François
• Event: Veröffentlichung
• (who): Université du Québec à Montréal, École des sciences de la gestion (ESG UQAM), Département des sciences économiques
• (where): Montréal
• (when): 2018

Further information

• Handle: http://hdl.handle.net/10419/234761
• Last update: 10.03.2025, 11:44 AM CET