Structural Change Tests for Simulated Method of Moments.

Simulation-based estimation methods have become more wideky used in recent years. We propose a set of tests for structural Change in model estimates via Simulated Method of Moments (see Duffie and Singleton (1993)). These tests extend the recent work of Andrews (1993) and Sowell (1996a, b) which covered Generalized Method of Moments Estimators not involving simulation. We derive the asymptotic distributions of various tests.

MoreLess

Year of publication:	1998
Authors:	Ghysels, E. ; Guay, A.
Subject:	ECONOMETRICS \| TESTING \| TIME SERIES

More details

Type of publication:	Book / Working Paper
Notes:	31 pages
Classification:	C1 - Econometric and Statistical Methods: General ; C12 - Hypothesis Testing ; C22 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10005780763