A note on tests of partial parameter stability in the cointegrated system
AbstractThis paper provides a local asymptotic analysis to show that the tests of partial parameter stability in cointegrating regressions, such as Quintos and Phillips [Quintos, C.E., Phillips, P.C.B., 1993. Parameter constancy in cointegrating regressions, Empirical Economics 18, 675-703] and Kuo [Kuo, B.S., 1998. Test for partial parameter instability in regressions with I(1) processes, Journal of Econometrics 86, 337-368], are not pivotal as long as there are changes in parameters not being tested.
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Bibliographic InfoArticle provided by Elsevier in its journal Economics Letters.
Volume (Year): 99 (2008)
Issue (Month): 3 (June)
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Web page: http://www.elsevier.com/locate/ecolet
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Hansen, Bruce E, 2002.
"Tests for Parameter Instability in Regressions with I(1) Processes,"
Journal of Business & Economic Statistics,
American Statistical Association, vol. 20(1), pages 45-59, January.
- Hansen, Bruce E, 1992. "Tests for Parameter Instability in Regressions with I(1) Processes," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(3), pages 321-35, July.
- Kuo, Biing-Shen, 1998. "Test for partial parameter instability in regressions with I(1) processes," Journal of Econometrics, Elsevier, vol. 86(2), pages 337-368, June.
- Gregory, Allan W. & Nason, James M. & Watt, David G., 1996. "Testing for structural breaks in cointegrated relationships," Journal of Econometrics, Elsevier, vol. 71(1-2), pages 321-341.
- Hansen, Peter Reinhard, 2003.
"Structural changes in the cointegrated vector autoregressive model,"
Journal of Econometrics,
Elsevier, vol. 114(2), pages 261-295, June.
- Peter Reinhard Hansen, 2000. "Structural Changes in the Cointegrated Vector Autoregressive Model," Working Papers 2000-20, Brown University, Department of Economics.
- Donald W.K. Andrews, 1990.
"Tests for Parameter Instability and Structural Change with Unknown Change Point,"
Cowles Foundation Discussion Papers
943, Cowles Foundation for Research in Economics, Yale University.
- Andrews, Donald W K, 1993. "Tests for Parameter Instability and Structural Change with Unknown Change Point," Econometrica, Econometric Society, vol. 61(4), pages 821-56, July.
- Quintos, Carmela E., 1998. "Stability tests in error correction models," Journal of Econometrics, Elsevier, vol. 82(2), pages 289-315, February.
- Seo, Byeongseon, 1998. "Tests For Structural Change In Cointegrated Systems," Econometric Theory, Cambridge University Press, vol. 14(02), pages 222-259, April.
- Quintos, Carmela E & Phillips, Peter C B, 1993. "Parameter Constancy in Cointegrating Regressions," Empirical Economics, Springer, vol. 18(4), pages 675-706.
- Chih-Chiang Hsu & Chung-Ming Kuan, 2001. "Distinguishing between trend-break models: method and empirical evidence," Econometrics Journal, Royal Economic Society, vol. 4(2), pages 1.
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