The limiting distribution of post-sample stability tests for GMM estimation when the potential break date is unknown
Article Abstract:
The split-sample prediction analysis of Ghysels and Hall (1990) and Hoffman and Pagan (1989) are frequently used tests for structural stability in the Generalized Method of Moments (GMM) model. These tests are limited by their inability to predict the break date when applied to papers concerning the structural stability of Euler equation parameters approximated by GMM. It is proven that the split-type tests' can be used effectively even in such equations where the break date is not known a priori.
Publication Name: Oxford Bulletin of Economics & Statistics
Subject: Economics
ISSN: 0305-9049
Year: 1997
User Contributions:
Comment about this article or add new information about this topic:
A new test for structural stability based on recursive residuals
Article Abstract:
A study was conducted to analyze a novel test for structural stability based on recursive residuals. The distribution does not support any assumptions concerning the data generating process of the regressors. A comparison was made between the local asymptotic power of the proposed test and those of other tests. Results indicated that the test integrates better power characteristics that the CUSUM and CUSUM of squares tests based on recursive residuals.
Publication Name: Oxford Bulletin of Economics & Statistics
Subject: Economics
ISSN: 0305-9049
Year: 1999
User Contributions:
Comment about this article or add new information about this topic:
A simple measure of beta-convergence
Article Abstract:
An objective method for measuring convergence that expands on the concept of Sala-i-Martin (1994) is evaluated to determine the capabilities of Barro-regressions in measuring beta-convergence. Results from the method's application in OECD countries in the period of 1950 to 1988 reveal that beta-convergence is not present after 1972. Findings also confirm that the basic Solow model of economic growth through zero beta-convergence.
Publication Name: Oxford Bulletin of Economics & Statistics
Subject: Economics
ISSN: 0305-9049
Year: 1997
User Contributions:
Comment about this article or add new information about this topic:
- Abstracts: Multiple dimensions of private information: evidence from the long-term care insurance market. Why parents play favorites: explanations for unequal bequests
- Abstracts: The timing and intensity of investment. A model of sequential investment. Investment lags
- Abstracts: Central bank intervention and the volatility of foreign exchange rates: evidence from the options market. Measuring the degree of exchange market intervention in a small open economy
- Abstracts: The long-run dynamics of fundamental tax reform. Potential disruption from the move to a consumption tax
- Abstracts: The asymmetric effects of political pressures on U.S. monetary policy Optimal seigniorage versus interest rate smoothing