Tests for Parameter Instability and Structural Change with Unknown Change Point

@article{Andrews1993TestsFP,
  title={Tests for Parameter Instability and Structural Change with Unknown Change Point},
  author={Donald W. K. Andrews},
  journal={Econometrica},
  year={1993},
  volume={61},
  pages={821-856}
}
  • D. Andrews
  • Published 1 July 1993
  • Mathematics, Economics
  • Econometrica
This paper considers tests for parameter instability and structural change with unknown change point. The results apply to a wide class of parametric models that are suitable for estimation by generalized method of moments procedures. The asymptotic distributions of the test statistics considered here are nonstandard because the change point parameter only appears under the alternative hypothesis and not under the null. The tests considered here are shown to have nontrivial asymptotic local… 

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