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.

Parameter estimation

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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.

Econometrics & Model Building, Models, Econometrics, Statistics, Statistics (Data), Business models

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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.

Income, Regression analysis

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