This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Testing for Time Dependence in Parameters

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Ralf Becker
Walter Enders
A. Stan Hurn

Additional information is available for the following registered author(s):

Abstract

This paper proposes a new test based on a Fourier series expansion to approximate the unknown functional form of a nonlinear time-series model. The test specifically allows for structural breaks, seasonal parameters and time-varying parameters. The test is shown to have evry good size and power properties. However, it is not especially good in detecting nonlinearity in variables. As such, the test can help determine whether an observed rejection of the joint null hypothesis of linearity and time invariant parameters is due to time-varying coefficients of a nonliearity in variables.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help file. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://www.business.uts.edu.au/qfrc/research/research_papers/rp58.pdf
File Format: application/pdf
File Function:
Download Restriction: no

Publisher Info
Paper provided by Quantitative Finance Research Centre, University of Technology, Sydney in its series Research Paper Series with number 58.

Download reference. The following formats are available: HTML, plain text, BibTeX, RIS (EndNote), ReDIF
Length:
Date of creation: 01 Jun 2001
Date of revision:
Handle: RePEc:uts:rpaper:58

Contact details of provider:
Postal: PO Box 123, Broadway, NSW 2007, Australia
Phone: +61 2 9514 7777
Fax: +61 2 9514 7711
Web page: http://www.business.uts.edu.au/qfrc/index.html
More information through EDIRC

For technical questions regarding this item, or to correct its listing, contact: (Duncan Ford).

Related research
Keywords: time varying parameters fourier-series nuisance parameters

Other versions of this item:

Find related papers by JEL classification:
C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation and Testing
G12 - Financial Economics - - General Financial Markets - - - Asset Pricing

References listed on IDEAS
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.:

  1. repec:att:wimass:1919997 is not listed on IDEAS
  2. Barnett, William A. & Gallant, A. Ronald & Hinich, Melvin J. & Jungeilges, Jochen A. & Kaplan, Daniel T. & Jensen, Mark J., 1997. "A single-blind controlled competition among tests for nonlinearity and chaos," Journal of Econometrics, Elsevier, vol. 82(1), pages 157-192. [Downloadable!] (restricted)
    Other versions:
  3. G. S. Hongyi Li, 1996. "Bootstrapping time series models," Econometric Reviews, Taylor and Francis Journals, vol. 15(2), pages 115-158. [Downloadable!] (restricted)
  4. Andrews, Donald W K & Ploberger, Werner, 1994. "Optimal Tests When a Nuisance Parameter Is Present Only under the Alternative," Econometrica, Econometric Society, vol. 62(6), pages 1383-1414, November. [Downloadable!] (restricted)
    Other versions:
  5. Engle, Robert F, 1974. "Band Spectrum Regression," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 15(1), pages 1-11, February. [Downloadable!] (restricted)
    Other versions:
  6. Hansen, Bruce E, 1996. "Inference When a Nuisance Parameter Is Not Identified under the Null Hypothesis," Econometrica, Econometric Society, vol. 64(2), pages 413-30, March. [Downloadable!] (restricted)
    Other versions:
  7. Ludlow, Jorge & Enders, Walter, 2000. "Estimating non-linear ARMA models using Fourier coefficients," International Journal of Forecasting, Elsevier, vol. 16(3), pages 333-347. [Downloadable!] (restricted)
  8. Perron, Pierre, 1989. "The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis," Econometrica, Econometric Society, vol. 57(6), pages 1361-1401, November. [Downloadable!] (restricted)
    Other versions:
  9. Hansen, Bruce E, 1999. " Testing for Linearity," Journal of Economic Surveys, Blackwell Publishing, vol. 13(5), pages 551-76, December. [Downloadable!] (restricted)
Full references

Statistics
Access and download statistics

Did you know? IDEAS is also providing many rankings, for example of authors and institutions.

This page was last updated on 2008-8-25.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.