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Testing for Constant Parameters in Nonlinear Models: A Quick Procedure with an Empirical Illustration

Author

Listed:
  • J. Hoyo

    (Universidad Autónoma de Madrid)

  • G. Llorente

    (Universidad Autónoma de Madrid)

  • C. Rivero

    (Universidad Complutense de Madrid)

Abstract

This paper proposes a two-step method for an omnibus misspecification test for constant parameters in nonlinear models. The procedure is easy to implement and has a low computational cost. The asymptotic distribution and the consistency of the procedure are derived. Monte Carlo simulations support the relevance of the proposed method, evaluate the performance of the procedure, and highlight its small computational load. An empirical application illustrates the relevance of the procedure.

Suggested Citation

  • J. Hoyo & G. Llorente & C. Rivero, 2019. "Testing for Constant Parameters in Nonlinear Models: A Quick Procedure with an Empirical Illustration," Computational Economics, Springer;Society for Computational Economics, vol. 54(1), pages 113-137, June.
    • Handle: RePEc:kap:compec:v:54:y:2019:i:1:d:10.1007_s10614-017-9693-5
    DOI: 10.1007/s10614-017-9693-5
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    References listed on IDEAS

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    Cited by:

    1. Juan Hoyo & Guillermo Llorente & Carlos Rivero, 2020. "A Testing Procedure for Constant Parameters in Stochastic Volatility Models," Computational Economics, Springer;Society for Computational Economics, vol. 56(1), pages 163-186, June.

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