Structural Stability Testing in Models Estimated by Generalized Method of Moments
广义矩估计模型中的结构稳定性检验
This article proposes a new methodology for testing structural stability in models estimated via generalized method of moments. Like most previous studies of this general problem, attention is focused on the case in which some aspect of the model potentially changes at a single point in the sample, known as the “breakpoint.” Unlike this earlier work, however, our approach is based on a decomposition of the null hypothesis into two components involving parameter constancy and…