Tests for Parameter Instability and Structural Change With Unknown Change Point
提出适用于广义矩估计模型的参数不稳定性和结构变化检验方法，处理变点未知的情况，检验在参数非恒定假设下具有非平凡局部渐近功效。
This paper considers tests for parameter instability and structural change with unknown change point. The results apply to a wide class of parametric models that are suitable for estimation by generalized method of moments procedures. The asymptotic distributions of the test statistics considered here are nonstandard because the change point parameter only appears under the alternative hypothesis and not under the null. The tests considered here are shown to have nontrivial asymptotic local power against all alternatives for which the parameters are nonconstant. The tests are found to perform quite well in a Monte Carlo experiment reported elsewhere. Copyright 1993 by The Econometric Society.