Hostname: page-component-78c5997874-4rdpn Total loading time: 0 Render date: 2024-11-17T19:31:41.723Z Has data issue: false hasContentIssue false
  • English
  • Français

TESTING FOR STRUCTURAL CHANGE IN THE PRESENCE OF AUXILIARY MODELS

Published online by Cambridge University Press:  01 December 2004

Eric Ghysels  and
Alain Guay
Eric Ghysels
Affiliation:
University of North Carolina and CIRANO
Alain Guay
Affiliation:
Université du Québec à Montréal, CIRPÉE, and CIREQ
Get access Rights & Permissions [Opens in a new window]

Abstract

Several estimation procedures such as the efficient method of moments (EMM) of Gallant and Tauchen (1996, Econometric Theory 12, 657–681) and indirect inference procedure of Gouriéroux, Monfort, and Renault (1993, Journal of Applied Econometrics 8, S85–S118) involve two models, an auxiliary one and a model of interest. The role played by both models poses challenges and provides new opportunities for hypothesis testing beyond the usual Wald-, Lagrange multiplier–, and likelihood ratio–type tests. In this paper we present and derive the asymptotic distribution theory for various classes of tests for structural change. Some procedures are extensions of standard tests, whereas others are specific to the dual model setup and exploit its unique features.The first author gratefully acknowledges financial support from Fonds pour la Formation de Chercheurs et l'aide à la Recherche (FCAR). The second author acknowledges the financial support of the Natural Sciences and Engineering Research Council of Canada through a grant to NCM2 (Network for Computing and Mathematical Modeling). We also thank Alastair Hall and Éric Renault for comments on an earlier draft of the paper.

Type
Research Article
Information
Econometric Theory , Volume 20 , Issue 6 , December 2004 , pp. 1168 - 1202
Copyright
© 2004 Cambridge University Press

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

References

REFERENCES

Andrews, D.W.K. (1992) Generic uniform convergence. Econometric Theory 8, 241–257.Google Scholar
Andrews, D.W.K. (1993) Tests for parameter instability and structural change with unknown change point. Econometrica 61, 821–856.Google Scholar
Andrews, D.W.K. & R. Fair (1988) Inference in econometrics models with structural change. Review of Economic Studies 55, 615–640.Google Scholar
Andrews, D.W.K. & C.J. McDermott (1995) Nonlinear econometric models with deterministically trending variables. Review of Economic Studies 62, 343–360.Google Scholar
Andrews, D.W.K. & J.C. Monahan (1992) An improved heteroskedasticity and autocorrelation consistent covariance matrix estimator. Econometrica 60, 953–966.Google Scholar
Andrews, D.W.K. & W. Ploberger (1994) Optimal tests when a nuisance parameter is present only under the alternative. Econometrica 62, 1383–1414.Google Scholar
Davidson, J. (1994) Stochastic Limit Theory: An Introduction for Econometricians. Oxford University Press.
Dridi, R.L., A. Guay, & E. Renault (2003) Indirect Inference and Calibration of Dynamic Stochastic General Equilibrium Models. Discussion paper, University of North Carolina and Université du Québec à Montréal.
Dridi, R.L. & E. Renault (2001) Semi-parametric Indirect Inference. Manuscript, University of North Carolina and Université du Québec à Montréal.
Duffie, D. & K.J. Singleton (1993) Simulated moments estimation of Markov models of asset prices. Econometrica 61, 929–952.Google Scholar
Dufour, J.M., E. Ghysels, & A. Hall (1994) Generalized predictive tests and structural change analysis in econometrics. International Economic Review 35, 199–229.Google Scholar
Gallant, A.R. (1987) Nonlinear Statistical Models. Wiley.
Gallant, A.R. & G. Tauchen (1996) Which moments to match? Econometric Theory 12, 657–681.Google Scholar
Gallant, A.R. & G. Tauchen (1998) Reprojecting partially observed systems with application to interest rate diffusions. Journal of the American Statistical Association 93, 10–24.Google Scholar
Ghysels, E. & A. Guay (2003) Structural change tests for simulated method of moments. Journal of Econometrics 115, 91–123.Google Scholar
Ghysels, E., A. Guay, & A. Hall (1997) Predictive test for structural change with unknown breakpoint. Journal of Econometrics 82, 209–233.Google Scholar
Ghysels, E. & A. Hall (1990) A test for structural stability of Euler conditions parameters estimated via the generalized method of moments estimator. International Economic Review 31, 355–364.Google Scholar
Gouriéroux, C., A. Monfort, & E. Renault (1993) Indirect inference. Journal of Applied Econometrics 8, S85–S118.Google Scholar
Gouriéroux, C., A. Monfort, & A. Trognon (1985) Moindres Carrés asymptotiques. Annales de l'INSEE 58, 91–121.Google Scholar
Guay, A. (2003) Optimal predictive tests. Econometric Reviews 22, 379–410.Google Scholar
Guay, A. & E. Renault (2003) Indirect Encompassing with Misspecied Models. Manuscript, University of North Carolina and Université du Québec à Montréal.
Hall, A. & A. Sen (1999) Structural stability testing in models estimated by generalized method of moments. Journal of Business and Economic Statistics 17, 335–348.Google Scholar
Hansen, L.P. (1982) Large sample properties of generalized method of moments estimators. Econometrica 50, 1029–1054.Google Scholar
Hoffman, D. & A. Pagan (1989) Post-sample prediction tests for generalized method of moments estimators. Oxford Bulletin of Economics and Statistics 51, 331–343.Google Scholar
Liu, M. & H.H. Zhang (1998) Specification Tests in the Efficient Method of Moments Framework with Application to the Stochastic Volatility Models. Discussion paper, Carnegie Mellon University.
McFadden, D. (1989) A method of simulated moments for estimation of discrete response models without numerical integration. Econometrica 57, 995–1026.Google Scholar
Newey, W. & K. West (1988) Hypothesis testing with efficient method of moments estimation. International Economic Review 28, 777–787.Google Scholar
Newey, W.K. (1991) Uniform convergence in probability and stochastic equicontinuity. Econometrica 59, 703–708.Google Scholar
Newey, W.K. & K. West (1994) Automatic lag selection in covariance matrix estimation. Review of Economic Studies 61, 631–653.Google Scholar
Pakes, A. & D. Pollard (1989) Simulation and the asymptotic of optimization estimators. Econometrica 57, 1027–1058.Google Scholar
Pollard, D. (1984) Convergence of Stochastic Processes. Springer-Verlag.
Pötscher, B.M. & I.R. Prucha (1989) A uniform law of large numbers for dependent and heterogenous processes. Econometrica 57, 675–683.Google Scholar
Sowell, F. (1996a) Optimal tests for parameter instability in the generalized method of moments framework. Econometrica 64, 1085–1107.Google Scholar
Sowell, F. (1996b) Tests for Violations of Moment Conditions. Manuscript, Graduate School of Industrial Administration, Carnegie Mellon University.
van der Sluis, P.J. (1998) Structural Stability Tests with Unknown Breakpoint for the Efficient Method of Moments with Application to Stochastic Volatility Models. Manuscript, University of Amsterdam, Department of Econometrics.