Variable addition tests for parameter stability are based on the use of test variables constructed as the product of dummy variables and the variables whose coefficient is believed to have changed. The object of this note is to analyze some power properties of this class of tests. The main conclusion is that the power of such tests against the null of no change depends on the length of the test period. It is suggested that, in absence of a priori information on the timing of breaks, a suitable strategy can be based on recursive testing. Copyright 1994 by Blackwell Publishing Ltd
Download Info
To our knowledge, this item is not available for
download. To find whether it is available, there are three
options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page
whether it is in fact available.
3. Perform a search for a similarly titled item that would be
available.
Volume (Year): 56 (1994) Issue (Month): 1 (February) Pages: 77-85 Download reference. The following formats are available: HTML
(with abstract),
plain text
(with abstract),
BibTeX,
RIS (EndNote, RefMan, ProCite),
ReDIF