GMM-based tests for multiple structural breaks

Extend GMM-based structural stability tests with Sup-, Average-, and Exponential-functionals to allow for multiple break-points and derive their asymptotic distributions under the null and alternative hypotheses.

Background

Current GMM-based methods provide tests for a single unknown break using Sup-, Av-, and Exp-functionals. The authors highlight that extending these methods to multiple breaks remains an open research question, and practical concerns about estimation and sample sizes further motivate formal development.

References

To our knowledge, the extension of these methods to test for multiple breaks remains an open research question.

— Testing for multiple change-points in macroeconometrics: an empirical guide and recent developments (2507.22204 - Boldea et al., 29 Jul 2025) in Section 6, Testing for change-points in nonlinear models (Other nonlinear models)