On a test for structural stability of euler conditions parameters estimated via the generalized method of moments estimator: small sample properties
通过蒙特卡洛实验，研究了Ghysels和Hall提出的结构变化预测检验在小样本下的表现，发现其比过度识别约束检验更有效，但预测能力随样本外数据减少而急剧下降。
This paper presents Monte Carlo experiments on the small sample performance of the predictive test for structural change proposed by Ghysels and Hall. The predictive test was found to be more powerful than the overidentifying restrictions test in terms of size-corrected power when a shift in parameter has occurred. Also, it was found that the power of the predictive test decreases drastically as the number of the out-sample data decreases.