Gagliardini, Patrick; Trojani, Fabio; Urga, Giovanni - 2004
We propose a class of new robust GMM tests for endogenous structural breaks. The tests are based on supremum, average … and exponential functionals derived from robust GMM estimators with bounded influence function. We study the theoretical … tests in some Monte Carlo simulations, and compare it with that of classical GMM tests for structural breaks. In large …