Several estimation procedures such as the Efficient Method of Moments (EMM) of Gallant and Tauchen (1996) and Indirect Inference procedure of Gouriéroux, Monfort and Renault (1993) involve two models, an auxiliary one and a model of interest. The role played by both models poses challenges and...

This paper shows that predictive tests for structural change with unknown breakpoint are optimal tests such as defined by Sowell (1996a, 1996b). Optimal predictive tests for parameter instability and overidentifying restrictions stability are proposed. An optimal predictive test for parameter...

The 1980s and early 1990s have set applied macroeconometrics on a new course because of advances in econometric theory and the development of ever more powerful computers and softwares. A thorough understanding of the fundamental statistical theory underlying the new techniques may be too...

Simulation-based estimation methods have become more widely used in recent years. We propose a set of tests for structural change in models estimates via Simulated Method of Moments (see Duffie and Singleton (1993)). These tests extend the recent work of Andrews (1993) and Sowell (1996a, b)...