Optimal Tests for Parameter Instability in the Generalized Method of Moments Framework
在广义矩方法框架下提出参数不稳定的最优检验，包括单侧和双侧备择假设的检验，其中一种双侧最优检验是Andrews和Ploberger（1994）似然框架检验的GMM推广，且一类最优检验可将检验功效指向样本特定位置，其中一种在零假设下服从正态分布。
This paper presents optimal tests for parameter instability in the GMM framework. The new tests include tests that are optimal for both one-sided and two-sided alternatives. One of the optimal tests for two-sided alternatives is the GMM generalization of the test presented in Andrews and Ploberger (1994) for the likelihood framework. The new tests include a class of optimal tests that direct the test's power to specific locations in the sample. One of these optimal tests has the attractive feature of a normal distribution under the null hypothesis.