Structural Stability Testing in Models Estimated by Generalized Method of Moments
提出一种检验广义矩方法估计模型结构稳定性的新方法，将原假设分解为参数恒定和过度识别约束有效性两部分，能区分参数变化与更普遍的模型不稳定，并应用于国际股票指数收益的条件资本资产定价模型，发现五个G7国家数据均存在结构不稳定。
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 the validity of the overidentifying restrictions both before and after the suspected breakpoint. Using this framework, we propose a testing strategy that offers the potential to discriminate between parameter variation and more general forms of instability. Statistics are presented for testing our null hypotheses in both the known and unknown breakpoint cases. The tests are applied to the conditional capital asset pricing model used by Harvey to explain the international variation in stock index returns. Harvey reported that data from five of the G7 countries satisfy the full-sample overidentifying restrictions of the model; our results indicate that all five of these models exhibit structural instability and so are misspecified.