The Limiting Distribution of Post‐sample Stability Tests for GMM Estimation when the Potential Break Date is Unknown
推导了在GMM估计中，当潜在断点未知时，对样本后稳定性检验取所有可能断点上的上确界的极限分布，从而允许内生确定断点。
Recent papers have proposed a split‐sample prediction method to test for structural stability in GMM estimation when the potential break date is treated as known. In this note we derive the limiting distribution of the supremum of this test over all possible break dates, thus allowing for endogenous determination of the potential break date.