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The Limiting Distribution of Post-sample Stability Tests for GMM Estimation When the Potential Break Date Is Unknown

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  • Wright, Jonathan H

Abstract

Recent papers have proposed a split-sample prediction method to test for structural stability in GMM estimation when the potential break date is treated as known. In this note, the author derives the limiting distribution of the supremum of this test over all possible break dates, thus allowing for endogenous determination of the potential break date. Copyright 1997 by Blackwell Publishing Ltd

Suggested Citation

  • Wright, Jonathan H, 1997. "The Limiting Distribution of Post-sample Stability Tests for GMM Estimation When the Potential Break Date Is Unknown," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 59(2), pages 299-303, May.
    • Handle: RePEc:bla:obuest:v:59:y:1997:i:2:p:299-303
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    Cited by:

    1. D.M. Nachane & Nishita Raje, 2007. "Financial Liberalisation and Monetary Policy," Margin: The Journal of Applied Economic Research, National Council of Applied Economic Research, vol. 1(1), pages 47-83, March.
    2. Clark, Todd & McCracken, Michael, 2013. "Advances in Forecast Evaluation," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 1107-1201, Elsevier.
    3. Jan, Yin-Ching & Chou, Peter Shyan-Rong & Hung, Mao-Wei, 2000. "Pacific Basin stock markets and international capital asset pricing," Global Finance Journal, Elsevier, vol. 11(1-2), pages 1-16.

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