Generalized Predictive Tests and Structural Change Analysis in Econometrics
Dufour, J. M., Ghysels, E., & Hall, A. (1994). Generalized Predictive Tests and Structural Change Analysis in Econometrics. International Economic Review, 35(1), 199-229.
A generalized predictive testing procedure for structural stability in nonlinear dynamic simultaneous equations models is presented. It has several attractive features: (1) the tests are based on easy-to-compute predicted residuals; (2) the prediction subsample can be arbitrarily small; (3) only consistency is required and allowance is made for data-based model selection; (4) it is possible to analyze the timing and form of structural change equation by equation or globally, allowing an exploratory analysis of structural change conveniently summarized in a predictive analysis table; and (5) general forms of temporal dependence between model disturbances are allowed