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A Test for Structural Stability of Euler Conditions Parameters Estimated Via the Generalized Methods of Moments Estimators

Author

Listed:
  • Ghysels, E.
  • Hall, A.

Abstract

Un Test de la Stabilite Structurelle des Parametres Estimee Par la Methode des Moments Generalisee (Mmg) Est Presente. le Test Est Predictif, Base Sur L'examen de Previsions Sur un Sous-Echantillon le Test S'applique Sur une Grande Variete de Modeles D'inference Dynamiques, Modeles D'equations Simultanees Non-Lineaires Pour une Large Classe de Methodes D'inference Couverte Par L'estimateur Mmg. les Proprietes Asymptotiques et L'efficacite Locale Sont Derivees. Il Est Demontre Que le Test a une Efficacite Asymptotique Equivalente Pour des Alternatives Locales Dans Chaque Sous-Echantillon, Quel Que Soit Celui Qui Etait Conditionnel a L'autre. le Test a Plusieurs Avantages Particulierement Importants Pour les Modeles Dynamiques Non-Lineaires.

Suggested Citation

  • Ghysels, E. & Hall, A., 1988. "A Test for Structural Stability of Euler Conditions Parameters Estimated Via the Generalized Methods of Moments Estimators," Cahiers de recherche 8837, Universite de Montreal, Departement de sciences economiques.
    • Handle: RePEc:mtl:montde:8837
    as

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