Structural Stability Testing
Tests for the structural stability of the parameters and the overidentifying restrictions can be performed by selecting the Stability entry, under the Testing field. The program supporst testing with both known and unknown breakpoints. The tests computed are:
Known breakpoint: Wald, LM, D, O1, O2, O
Unknown breakpoint: sup-, Av-, and Exp- functional of the
sequence of the Wald, LM, D, and O tests.
The window that controls the structural stability tests is the following
Fields' explanation
The output structure of the full sample estimates is
In this field you must give the name of a workspace variable that consists of the output of the full sample GMM estimates.
Therefore, prior of performing a structural stability test, you need to use the GMM-GUI to get the full sample estimates. Recall that during the estimation you are asked to select a name under which your output will be saved (field: Output will be saved as); the name that you selected during the full sample GMM estimation is what you should input here.
Break type
The default is Known break point. Select the Unknown entry if your break point is unknown. Depending on the type of breakpoint you select here, the inputs you must provide change. All of them are listed below.
Break point (#observation) - [Available if break type is Known]
A positive integer indicating the observation that the potential break has occured.
Lower break point (given as decimal) -
Upper break point (given as decimal) [Available if break type is Unknown]
Both entries must be positive numbers, that lie between 0 and 1, with
lower break point < upper break point
Suppose that your sample consists of 200 observations and you want to check for potentials break at any point within observations 30 and 150. Then,
Lower break point = 30/200 = 0.15
Upper break point = 150/200 = 0.75
Save output as
The tests will be saved under the name you enter in this field; suppose that the name you select is strtests. Then,
If the type of break is known, strtests will be a structure variable with fields
'Estimates_Before' : A Px1 vector with the estimated value of the parameters before the break
'Estimates_After', : A Px1 vector with the estimated value of the parameters after the break
'Wtest' : The value and prob. of the Wald structural stability test
'LMtest': The value and prob. of the LM structural stability test
'Dtest' : The value and prob. of the D structural stability test
'Otest': The value and prob. of the O structural stability test
'O1test': The value and prob. of the O1structural stability test
'O2test': The value and prob. of the O2 structural stability test
If the type of break is unknown, strtests will be a structure variable with fields
'Estimates' : Suppose that you have calculated the tests over a sequence of 150 points. In this case, the 'Estimates' variable will be a 2Px150 matrix, where P is the number of parameters you estimated. The first P rows on each column are the estimates before the break, whereas the last P are the estimates after the break.
'Wtests' : The sup-, Av-, and Exp- value of the sequence of ther W tests.
'LMtests': The sup-, Av-, and Exp- value of the sequence of the LM tests.
'Dtests': The sup-, Av-, and Exp- value of the sequence of the D tests.
'Otests': The sup-, Av-, and Exp- value of the sequence of the O tests.