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CiteWeb id: 19930000114

CiteWeb score: 4048

This paper considers tests of parameter instability and structural change with unknown change point. The results apply to a wide class of parametric models including models that satisfy maximum likelihood type regularity conditions and models that are suitable for estimation by generalized method of moments procedures. The paper considers likelihood ratio and likelihood ratio like tests, as well as asymptotically equivalent Wald and Lagrange multiplier tests. Each test implicitly uses an estimate of change point. Tests of both "pure" and "partial" structural change are discussed.

The publication "Tests for Parameter Instability and Structural Change with Unknown Change Point" is placed in the Top 10000 of the best publications in CiteWeb. Also in the category Mathematics it is included to the Top 1000. Additionally, the publicaiton "Tests for Parameter Instability and Structural Change with Unknown Change Point" is placed in the Top 1000 among other scientific works published in 1993.
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