Kernel smoothing end of sample instability tests P values

Patrick Richard

Cahiers de recherche from Departement d'économique de l'École de gestion à l'Université de Sherbrooke

Abstract: A Monte Carlo investigation shows that the rejection probability of the structural stability test of Andrews (2003) depends on several characteristics of the DGP, one of which is the length of the hypothesized break period. This is analyzed and found to be caused, at least in part, by the fact that the number of subsampling statistics used to compute the P value depends on the sample size and the length of the break period. Simulations show that kernel smoothed P values provide more accurate tests in small samples.

Keywords: Kernel smoothing; Simulation-based test; P value; Stability test (search for similar items in EconPapers)
JEL-codes: C12 C14 C15 (search for similar items in EconPapers)
Pages: 9 pages
Date: 2010-06-17
New Economics Papers: this item is included in nep-ecm
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http://gredi.recherche.usherbrooke.ca/wpapers/GREDI-1019.pdf First version, 2010 (application/pdf)

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Persistent link: https://EconPapers.repec.org/RePEc:shr:wpaper:10-19

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