End-of-Sample Instability Tests

By Donald W. K. Andrews. 2003

177 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/1c8d15178a9d0a56fa62801f5855a317408f0d7c

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

In Finance

Citations in the corpus

Populist Leaders and the Economy (2020, methodology): “For formal inference, we follow Hahn and Shi (2017) and Andrews (2003), who proposed an end-of-sample instability test to conduct inference in the context of synthetic control estimates.”
Rational bubbles or persistent deviations from market fundamentals (2005, methodology): “However, given the high probability of a structural break in the latter half of the 1990s suggested by Fair (2004) using tests developed by Andrews (2003), the unit-root tests based on the full sample should be viewed with caution.”
The Costs of Economic Nationalism: Evidence from the Brexit Experiment* (2019, methodology): “13 We follow Andrews (2003) and apply the end-of-sample instability test to our baseline estimation.”
Tests for Cointegration Breakdown Over a Short Time Period (2006, methodology): “Andrews (2003) used subsampling to obtain critical values for tests of parameter instability over short time periods in models with stationary observations.”
Current account imbalances and financial integration in the euro area (2011, unknown): “Third, we test for parameter instability from 1999 onwards, using the end-of-sample stability test proposed by Andrews (2003).”
Using Synthetic Controls: Feasibility, Data Requirements, and Methodological Aspects (2021, methodology): “In a repeated sampling framework for stationary data and large T 0 , Hahn and Shi (2017) propose to apply the end-of-sample instability test of Andrews (2003) to obtain an inferential procedure for synthetic control estimators.”
Inference in Differences-in-Differences with Few Treated Groups and Heteroskedasticity (2019, methodology): “Therefore, this is a particular case of Andrews’ (2003) end-of-sample instability test in a model that includes only a constant.”
The Hausman Test and Weak Instruments (2011, background): “full rank K. Then, (a) under the null hypothesis ( 2 ),”
Shrinkage estimation of common breaks in panel data models via adaptive group fused Lasso (2016, unknown): “We assume 01 ≥ 2 and allow 00 = When 0 0 = the last break occurs at the end of the sample (c.f., Andrews 2003) and the (0 + 1)th regime has only one observation for each individual time series.”
Risk, Uncertainty and Monetary Policy (2013, unknown): “Finally, the Andrews (2003) test, formally designed for a break that occurs towards the end of the sample, is also performed.”