Kim, Dukpa; Perron, Pierre - In: Journal of Econometrics 149 (2009) 1, pp. 26-51
We compare the asymptotic relative efficiency of the Exp, Mean, and Sup functionals of the Wald, LM and LR tests for structural change analyzed by Andrews [Andrews, D.W.K., 1993. Tests for parameter instability and structural change with unknown change point. Econometrica 61, 821-856.] and...