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GENSTEST: Stata module to perform generalized S tests for models in the generalized method of moments framework

Author

Listed:
  • Zachary L. Flynn

    (University of Wisconsin-Madison)

  • Leandro M. Magnusson

    (University of Western Australia)

Programming Language

Stata

Abstract

genstest implements four types of generalized S tests: the average (ave-) S test, the exponential (exp-) S test, the supremum (sup-) S test, and the quasi local level (qLL-) S test. The first three tests are here referred to collectively as the "single-break" tests because each is derived under the assumption that there is a single-break date in the data-generating process for the endogenous variables. The fourth test, the qLL-S test, is derived by assuming that the instability of the moments is described as a difference martingale sequence.

Suggested Citation

  • Zachary L. Flynn & Leandro M. Magnusson, 2020. "GENSTEST: Stata module to perform generalized S tests for models in the generalized method of moments framework," Statistical Software Components S458742, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:s458742
    Note: This module may be installed from within Stata by typing "ssc install genstest". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
    as

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    File URL: http://fmwww.bc.edu/repec/bocode/g/genstest.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/g/genstest.sthlp
    File Function: help file
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/c/crit_values.matrix
    File Function: lookup table
    Download Restriction: no
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