Jm. Dufour et al., GENERALIZED PREDICTIVE TESTS AND STRUCTURAL-CHANGE ANALYSIS IN ECONOMETRICS, International economic review, 35(1), 1994, pp. 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-comput
e predicted residuals; (2) the prediction subsample can be arbitrarily
small; (3) only consistency is required and allowance is made for dat
a-based model selection; (4) it is possible to analyze the timing and
form of structural change equation by equation or globally, allowing a
n exploratory analysis of structural change conveniently summarized in
a predictive analysis table; and (5) general forms of temporal depend
ence between model disturbances are allowed.