Robust GMM tests for structural breaks

@inproceedings{Gagliardinia2004RobustGT,
  title={Robust GMM tests for structural breaks},
  author={Patrick Gagliardinia and Fabio Trojania and Giovanni Urgac},
  year={2004}
}
  • Patrick Gagliardinia, Fabio Trojania, Giovanni Urgac
  • Published 2004
We propose a class of new robust Generalized Method of Moments (GMM) tests for endogenous structural breaks. The tests are based on supremum, average and exponential functionals derived from robust GMM estimators with bounded influence function. We study the theoretical local robustness properties of the new tests and show that they imply a uniformly bounded asymptotic sensitivity of size and power under general local deviations from a reference model. We then analyze the finite sample… CONTINUE READING