A note on tests of partial parameter stability in the cointegrated system
This 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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- Andrews, Donald W K, 1993.
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- Quintos, Carmela E & Phillips, Peter C B, 1993. "Parameter Constancy in Cointegrating Regressions," Empirical Economics, Springer, vol. 18(4), pages 675-706.
- Seo, Byeongseon, 1998. "Tests For Structural Change In Cointegrated Systems," Econometric Theory, Cambridge University Press, vol. 14(02), pages 222-259, April.
- 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.
- Quintos, Carmela E., 1998. "Stability tests in error correction models," Journal of Econometrics, Elsevier, vol. 82(2), pages 289-315, February.
- 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.
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