On a test for structural stability of euler conditions parameters estimated via the generalized method of moments estimator: small sample properties |
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Authors: | Shigeyuki Hamori Shin-ichi Kitasaka Hisashi Tanizaki |
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Affiliation: | a Faculty of Economics, Kobe University, Kobe, Japanb School of International Cooperation Studies, Kobe University, Kobe, Japan |
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Abstract: | This paper presents Monte Carlo experiments on the small sample performance of the predictive test for structural change proposed by Ghysels and Hall. The predictive test was found to be more powerful than the overidentifying restrictions test in terms of size-corrected power when a shift in parameter has occurred. Also, it was found that the power of the predictive test decreases drastically as the number of the out-sample data decreases. |
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Keywords: | GMM Predictive Test J Test Quadrature Method |
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