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Structural change tests for GEL criteria

Guay, Alain; Lamarche, Jean-François - In: Econometric reviews 37 (2018) 6/10, pp. 1000-1032

Persistent link: https://www.econbiz.de/10012040528

Information-theoretic estimation of preference parameters : macroeconomic applications and simulation evidence

Gregory, Allan W.; Lamarche, Jean-François; Smith, … - In: Journal of econometrics 107 (2002) 1/2, pp. 213-233

Persistent link: https://www.econbiz.de/10001651284

Optimal predictive tests

Guay, Alain - In: Econometric reviews 22 (2003) 4, pp. 379-410

Persistent link: https://www.econbiz.de/10001843551

Using implied probabilities to improve the estimation of unconditional moment restrictions for weakly dependent data

Guay, Alain; Pelgrin, Florian - In: Econometric reviews 35 (2016) 1/4, pp. 344-372

Persistent link: https://www.econbiz.de/10011549937

Structural change tests for simulated method of moments

Ghysels, Eric; Guay, Alain - In: Journal of econometrics 115 (2003) 1, pp. 91-123

Persistent link: https://www.econbiz.de/10001758137

Structural Change Tests for Simulated Method of Moments

Guay, Alain; Ghysels, Eric - 2012

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)...

Persistent link: https://www.econbiz.de/10014026123