文章基本信息

标题：Testing for Structural Stability in the Whole Sample
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作者：Javier Hidalgo ; Myung Hwan Seo
期刊名称：Japanese Studies Programme Papers
出版年度：2012
出版社：Suntory Toyota International Centres for Economics and Related Disciplines
摘要：The paper examines a Lagrange Multiplier type test for the con- stancy of the parameter in general models with dependent data without im- posing any articial choice of the possible location of the break. In order to prove the asymptotic behaviour of the test, we extend a strong approximation result for partial sums of a sequence of random variables. We also present a Monte-Carlo experiment to examine the nite sample performance of the test and how it compares with tests which assume some knowledge of the possible location of the break.
关键词：Structural Stability; GMM estimation; Strong approximation; Ex-;treme value distribution