IDEAS home Printed from https://ideas.repec.org/a/spr/empeco/v18y1993i4p675-706.html
   My bibliography  Save this article

Parameter Constancy in Cointegrating Regressions

Author

Listed:
  • Quintos, Carmela E
  • Phillips, Peter C B

Abstract

This paper proposes an approach to testing for coefficient stability in cointegrating regressions in time series models. The test statistic considered is the one-sided version of the Lagrange Multiplier (LM) test. Its limit distribution is non-standard but is nuisance parameter free and can be represented in terms of a stochastic bridge process which is tied down like a Brownian bridge but relies on a random rather than a deterministic fraction do so. The approach provides a test of the null hypothesis of cointegration against specific directions of departure from the null; subset coefficient stability tests are also available. A small simulation studies the size and power properties of these tests and an empirical illustration to Australian data on consumption, disposable income, inflation and money is provided.

Suggested Citation

  • Quintos, Carmela E & Phillips, Peter C B, 1993. "Parameter Constancy in Cointegrating Regressions," Empirical Economics, Springer, vol. 18(4), pages 675-706.
  • Handle: RePEc:spr:empeco:v:18:y:1993:i:4:p:675-706
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    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:spr:empeco:v:18:y:1993:i:4:p:675-706. 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: (Sonal Shukla) or (Rebekah McClure). General contact details of provider: http://www.springer.com .

    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.