Generalized M-Fluctuation Tests for Parameter Instability
A general class of fluctuation tests for parameter instability in an M-estimation framework is suggested. The tests are based on partial sum processes of M-estimation scores for which functional central limit theorems are derived under the null hypothesis of parameter stability and local alternative...
| Main Authors: | , |
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| Format: | Others |
| Language: | en |
| Published: |
SFB Adaptive Information Systems and Modelling in Economics and Management Science, WU Vienna University of Economics and Business
2003
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| Subjects: | |
| Online Access: | http://epub.wu.ac.at/716/1/document.pdf |