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A note on tests of partial parameter stability in the cointegrated system


  • Hsu, Chih-Chiang


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.

Suggested Citation

  • Hsu, Chih-Chiang, 2008. "A note on tests of partial parameter stability in the cointegrated system," Economics Letters, Elsevier, vol. 99(3), pages 500-503, June.
  • Handle: RePEc:eee:ecolet:v:99:y:2008:i:3:p:500-503

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    References listed on IDEAS

    1. Quintos, Carmela E & Phillips, Peter C B, 1993. "Parameter Constancy in Cointegrating Regressions," Empirical Economics, Springer, vol. 18(4), pages 675-706.
    2. Hansen, Bruce E, 2002. "Tests for Parameter Instability in Regressions with I(1) Processes," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 45-59, January.
    3. 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 1-1.
    4. Hansen, Peter Reinhard, 2003. "Structural changes in the cointegrated vector autoregressive model," Journal of Econometrics, Elsevier, vol. 114(2), pages 261-295, June.
    5. Andrews, Donald W K, 1993. "Tests for Parameter Instability and Structural Change with Unknown Change Point," Econometrica, Econometric Society, vol. 61(4), pages 821-856, July.
    6. Gregory, Allan W. & Nason, James M. & Watt, David G., 1996. "Testing for structural breaks in cointegrated relationships," Journal of Econometrics, Elsevier, vol. 71(1-2), pages 321-341.
    7. Seo, Byeongseon, 1998. "Tests For Structural Change In Cointegrated Systems," Econometric Theory, Cambridge University Press, vol. 14(02), pages 222-259, April.
    8. 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.
    9. Quintos, Carmela E., 1998. "Stability tests in error correction models," Journal of Econometrics, Elsevier, vol. 82(2), pages 289-315, February.
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