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Bootstrap-based tests for deterministic time-varying coefficients in regression models

  • Kapetanios, George
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    The problem of structural change justifiably attracts considerable attention in econometrics. A number of different paradigms have been adopted, ranging from structural breaks which are sudden and rare, to time-varying coefficient models, which exhibit structural change more frequently and continuously. This paper is concerned with parametric econometric models whose coefficients change deterministically and smoothly over time. In particular, tests for the null hypothesis of no structural change versus the alternative hypothesis of smooth deterministic structural change are provided and discussed. The use of bootstrap tests is advocated. These tests perform well in an extensive Monte Carlo study.

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    Article provided by Elsevier in its journal Computational Statistics & Data Analysis.

    Volume (Year): 53 (2008)
    Issue (Month): 2 (December)
    Pages: 534-545

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    Handle: RePEc:eee:csdana:v:53:y:2008:i:2:p:534-545
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    6. Rodríguez Poo, Juan M. & Ferreira García, María Eva & Orbe Mandaluniz, Susan, 2001. "Nonparametric estimation of time varying parameters under shape restrictions," BILTOKI 2001-02, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística).
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