Title:

Covariance Matrix Estimation and the Limiting Behavior of the Overidentifying Restrictions Test in the Presence of Neglected Structural Instability

Authors:

Alastair Hall (NC State U)
Inoue Atsushi (NC State U)
Fernanda Peixe (U Évora)

Journal:

Econometric Theory

Year:

2003

Volume:

19

Pages:

962-983

JEL code:

C32 - Time-Series Models