Optimal Predictive Tests
基于序贯预测矩条件开发了最优检验，证明适当加权的预测检验与Sowell提出的最优结构变化检验功效相同，并提出了参数不稳定性和过度识别约束稳定性的最优预测检验，通过模拟研究了有限样本性质。
Abstract This paper develops optimal tests based on sequential predictive moment conditions. We show that an appropriate weighting version of the predictive test achieves the same power as optimal structural change tests proposed by Sowell (1996a) Optimal tests for parameter instability in the generalized method of moments framework. Econometrica64:1085–1107 and (1996b) Tests for Violations of MOMENT conditions. Manuscript.Graduate School of Industrial Administration, Carnegie Mellon University. Consequently, we can apply directly Sowell's results. Optimal predictive tests for parameter instability and overidentifying restriction stability are proposed. The finite sample properties of LM, Wald, LR‐type and predictive tests for parameter instability are studied via a simulation study.