Structural Stability Testing in Models Estimated by Generalized Method of Moments

Structural change tests for GEL criteria

“…Two new tests specific to the GEL framework are also proposed to detect instability of the overidentifying restrictions. We show that these new statistics have the same asymptotic distribution, at first order, as the distribution derived by Hall and Sen (1999) when the moment conditions are properly smoothed. A related paper (Guay and Lamarche, 2012) uses and extend the theoretical results derived in this paper to propose Pearson-type based statistics based on implied probabilities to detect structural change.…”

“…One such restriction that is often seen in practice would be that 0 = 0 0 , which would correspond to the null of a pure structural change hypothesis. Following the analysis of Sowell (1996b) and of Hall and Sen (1999), once we have defined the moment conditions we also translate these conditions into overidentifying restrictions and relate these two types of moment conditions to structural change tests.…”

“…Detecting structural A c c e p t e d M a n u s c r i p t stability of overidentifying restrictions because changes could be attributed to violations of the moment conditions themselves. Equivalent test statistics to Hall and Sen's (1999) statistics in the GMM context are adapted to the GEL with smoothed moment conditions. Two new tests specific to the GEL framework are also proposed to detect instability of the overidentifying restrictions.…”

Estimation and testing of Euler equation models with time-varying reduced-form coefficients

“…The asymptotic distribution of the test is given by J T ) w 2 dimðgÞÀdimðyÞ . It is worthwhile to point out, the independence result in Proposition 3 is similar in spirit to the independence of sample analogs to the identifying and over-identifying restrictions documented in Hall (2005) and Hall and Sen (1999), which considers GMM estimation with deterministic structural breaks. Thus for brevity, the proof of Proposition 3 is omitted.…”

Model Stability Test of Money Demand by Monthly Time Series Using CUSUM and MOSUM Tests: Evidence from Turkey

“…Asymptotic models for estimating model stability by the agency of GMM were developed by Andrews (1993, sup F test) and Andrews and Ploberger (1994, average and exponential F tests). Hall and Sen (1999) proposed a methodology for testing structural stability in models estimated via GMM and their results exhibited structural instability for all considered models. Hjort and Koning (2002) suggested a generalized classification of structural break tests based on maximum likelihood statistics.…”