Ghysels, Eric; Guay, Alain; Hall, Alastair - Centre Interuniversitaire de Recherche en Analyse des … - 1995
This paper considers predictive tests for structural change in models estimated via Generalized Method of Moments. Our analysis extends earlier work by Ghysels and Hall (1990a) by allowing for the instability to occur at an unknown point in the sample. We analyze various statistics based on...