STRUCTURAL CHANGE TESTS BASED ON IMPLIED PROBABILITIES FOR GEL CRITERIA
基于广义经验似然隐含概率的结构变化检验
This paper proposes Pearson-type statistics based on implied probabilities to detect structural change. The class of generalized empirical likelihood estimators (see Smith 1997, The Economic Journal 107, 503–519) assigns a set of implied probabilities to each observation such that moment conditions are satisfied. The proposed test statistics for structural change are based on the information content in these implied probabilities. We consider cases of structural change with…