IDEAS home Printed from https://ideas.repec.org/a/cup/etheor/v11y1995i04p699-720_00.html
   My bibliography  Save this article

The Moving-Estimates Test for Parameter Stability

Author

Listed:
  • Chu, Chia-Shang James
  • Hornik, Kurt
  • Kuan, Chung-Ming

Abstract

In this paper a new class of tests for parameter stability, the moving-estimates (ME) test, is proposed. It is shown that in the standard situation the ME test asymptotically equivalent to the maximal likelihood ratio test under the alternative of a temporary parameter shift. It is also shown that the asymptotic null distribution of the ME test is determined by the increments of a vector Brownian bridge and that under a broad class of alternatives the ME test is consistent and has nontrivial local power in general. Our simulations also demonstrate that the proposed test has power superior to other competing tests when parameters are temporarily instable.

Suggested Citation

  • Chu, Chia-Shang James & Hornik, Kurt & Kuan, Chung-Ming, 1995. "The Moving-Estimates Test for Parameter Stability," Econometric Theory, Cambridge University Press, vol. 11(04), pages 699-720, August.
  • Handle: RePEc:cup:etheor:v:11:y:1995:i:04:p:699-720_00
    as

    Download full text from publisher

    File URL: http://journals.cambridge.org/abstract_S0266466600009695
    File Function: link to article abstract page
    Download Restriction: no

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Raffaella Giacomini & Barbara Rossi, 2009. "Detecting and Predicting Forecast Breakdowns," Review of Economic Studies, Oxford University Press, vol. 76(2), pages 669-705.
    2. Liu, Guan-Chun & Lee, Chien-Chiang & Lee, Chi-Chuan, 2016. "The nexus between insurance activity and economic growth: A bootstrap rolling window approach," International Review of Economics & Finance, Elsevier, vol. 43(C), pages 299-319.
    3. Avouyi-Dovi, S. & Horny, G. & Sevestre, P., 2017. "The stability of short-term interest rates pass-through in the euro area during the financial market and sovereign debt crises," Journal of Banking & Finance, Elsevier, vol. 79(C), pages 74-94.
    4. Luis Fernando Melo Velandia & Martha Alicia Misas Arango, 2004. "Modelos Estructurales de Inflación en Colombia: Estimación a través de Mínimos Cuadrados Flexibles," BORRADORES DE ECONOMIA 003244, BANCO DE LA REPÚBLICA.
    5. Kurt Hornik & Friedrich Leisch & Christian Kleiber & Achim Zeileis, 2005. "Monitoring structural change in dynamic econometric models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(1), pages 99-121.
    6. Raphael Markellos & Terence Mills, 2003. "Asset pricing dynamics," The European Journal of Finance, Taylor & Francis Journals, vol. 9(6), pages 533-556.
    7. Davide De Gaetano, 2016. "Forecast Combinations For Realized Volatility In Presence Of Structural Breaks," Departmental Working Papers of Economics - University 'Roma Tre' 0208, Department of Economics - University Roma Tre.
    8. Pollock, D. S. G., 2003. "Recursive estimation in econometrics," Computational Statistics & Data Analysis, Elsevier, vol. 44(1-2), pages 37-75, October.
    9. Zeileis, Achim & Leisch, Friedrich & Hornik, Kurt & Kleiber, Christian, 2002. "strucchange: An R Package for Testing for Structural Change in Linear Regression Models," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 7(i02).
    10. Cho, Jin Seo & White, Halbert, 2011. "Generalized runs tests for the IID hypothesis," Journal of Econometrics, Elsevier, vol. 162(2), pages 326-344, June.
    11. Anatolyev, Stanislav, 2009. "Nonparametric Retrospection and Monitoring of Predictability of Financial Returns," Journal of Business & Economic Statistics, American Statistical Association, vol. 27(2), pages 149-160.
    12. Mehmet Balcilar & Rangan Gupta & Stephen M. Miller, 2014. "Housing and the Great Depression," Applied Economics, Taylor & Francis Journals, vol. 46(24), pages 2966-2981, August.
    13. Altissimo, Filippo & Corradi, Valentina, 2003. "Strong rules for detecting the number of breaks in a time series," Journal of Econometrics, Elsevier, vol. 117(2), pages 207-244, December.
    14. Zeileis, Achim & Kleiber, Christian & Kramer, Walter & Hornik, Kurt, 2003. "Testing and dating of structural changes in practice," Computational Statistics & Data Analysis, Elsevier, vol. 44(1-2), pages 109-123, October.
    15. Liu, Guanchun & He, Lei & Yue, Yiding & Wang, Jiying, 2014. "The linkage between insurance activity and banking credit: Some evidence from dynamic analysis," The North American Journal of Economics and Finance, Elsevier, vol. 29(C), pages 239-265.
    16. Filippo Altissimo & Valentina Corradi, 2000. "Strong Rules for Detecting the Number of Breaks in a Time Series," Econometric Society World Congress 2000 Contributed Papers 0574, Econometric Society.
    17. repec:dau:papers:123456789/15030 is not listed on IDEAS
    18. Chen, Gongmeng & Choi, Yoon K. & Zhou, Yong, 2005. "Nonparametric estimation of structural change points in volatility models for time series," Journal of Econometrics, Elsevier, vol. 126(1), pages 79-114, May.
    19. Fan, Ying & Xu, Jin-Hua, 2011. "What has driven oil prices since 2000? A structural change perspective," Energy Economics, Elsevier, vol. 33(6), pages 1082-1094.
    20. Na, Okyoung & Lee, Sangyeol, 2007. "Moving estimates test with time varying bandwidth," Journal of Multivariate Analysis, Elsevier, vol. 98(7), pages 1356-1375, August.
    21. Kuan, Chung-Ming, 1998. "Tests for changes in models with a polynomial trend," Journal of Econometrics, Elsevier, vol. 84(1), pages 75-91, May.
    22. Aue, Alexander & Horváth, Lajos & Reimherr, Matthew L., 2009. "Delay times of sequential procedures for multiple time series regression models," Journal of Econometrics, Elsevier, vol. 149(2), pages 174-190, April.
    23. Stanislav Anatolyev & Grigory Kosenok, 2011. "Sequential Testing with Uniformly Distributed Size," Working Papers w0123, Center for Economic and Financial Research (CEFIR).

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cup:etheor:v:11:y:1995:i:04:p:699-720_00. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Keith Waters). General contact details of provider: http://journals.cambridge.org/jid_ECT .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.