?url_ver=Z39.88-2004&rft_val_fmt=info%3Aofi%2Ffmt%3Akev%3Amtx%3Adc&rft.relation=https%3A%2F%2Fmpra.ub.uni-muenchen.de%2F2261%2F&rft.title=Valid+Inference+in+Partially+Unstable+GMM+Models&rft.creator=Li%2C+Hong&rft.creator=Mueller%2C+Ulrich&rft.subject=C32+-+Time-Series+Models+%3B+Dynamic+Quantile+Regressions+%3B+Dynamic+Treatment+Effect+Models+%3B+Diffusion+Processes+%3B+State+Space+Models&rft.description=The+paper+considers+time+series+GMM+models+where+a+subset+of+the+parameters+are+time+varying.+The+magnitude+of+the+time+variation+in+the+unstable+parameters+is+such+that+efficient+tests+detect+the+instability+with+(possibly+high)+probability+smaller+than+one%2C+even+in+the+limit.+We+show+that+for+many+forms+of+the+instability+and+a+large+class+of+GMM+models%2C+standard+GMM+inference+on+the+subset+of+stable+parameters%2C+ignoring+the+partial+instability%2C+remains+asymptotically+valid.&rft.date=2006-08&rft.type=MPRA+Paper&rft.type=NonPeerReviewed&rft.format=application%2Fpdf&rft.language=en&rft.identifier=https%3A%2F%2Fmpra.ub.uni-muenchen.de%2F2261%2F1%2FMPRA_paper_2261.pdf&rft.identifier=++Li%2C+Hong+and+Mueller%2C+Ulrich++(2006)%3A+Valid+Inference+in+Partially+Unstable+GMM+Models.++++&rft.language=en