Testing Parameter Constancy In Linear Models Against Stochastic Stationary Parameters
This paper considers testing parameter constancy in linear models when the alternative is that a subset of the parameters follow a stationary vector autoregressive process of known finite order. This kind of a linear model is only identified under the alternative, which usually precludes finding a test statistic with an analytic nuyll distribution. In the present situation, however, it is still possible to derive a test statistic with an asymptotic chi-squared distribution under the null hypothesis and this is done in the paper. The small-sample properties of the test statistic are investigated by simulation and found satisfactory. The test retains its power when the alternative to parameter constancy is a random walk parameter process.
(This abstract was borrowed from another version of this item.)
To our knowledge, this item is not available for
download. To find whether it is available, there are three
1. Check below under "Related research" 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.
|Date of creation:||1995|
|Contact details of provider:|| Postal: Spandauer Str. 1,10178 Berlin|
Web page: http://www.wiwi.hu-berlin.de/
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Pagan, Adrian, 1980.
"Some identification and estimation results for regression models with stochastically varying coefficients,"
Journal of Econometrics,
Elsevier, vol. 13(3), pages 341-363, August.
- PAGAN, Adrian, "undated". "Some identification and estimation results for regression models with stochastically varying coefficients," CORE Discussion Papers RP 413, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- DAVIDSON, Russel & MACKINNON, James G., "undated". "Heteroskedastcity-robust tests in regressions directions," CORE Discussion Papers RP 678, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Russell Davidson & James G. MacKinnon, 1985. "Heteroskedasticity-Robust Tests in Regression Directions," Working Papers 616, Queen's University, Department of Economics.
- Brooks, Robert D., 1993. "Alternative point-optimal tests for regression coefficient stability," Journal of Econometrics, Elsevier, vol. 57(1-3), pages 365-376.
- 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.
- Donald W.K. Andrews, 1990. "Tests for Parameter Instability and Structural Change with Unknown Change Point," Cowles Foundation Discussion Papers 943, Cowles Foundation for Research in Economics, Yale University.
- Dufour, Jean-Marie, 1982. "Recursive stability analysis of linear regression relationships: An exploratory methodology," Journal of Econometrics, Elsevier, vol. 19(1), pages 31-76, May.
- Sims, Christopher A & Stock, James H & Watson, Mark W, 1990. "Inference in Linear Time Series Models with Some Unit Roots," Econometrica, Econometric Society, vol. 58(1), pages 113-144, January.
- Min, Chung-ki & Zellner, Arnold, 1993. "Bayesian and non-Bayesian methods for combining models and forecasts with applications to forecasting international growth rates," Journal of Econometrics, Elsevier, vol. 56(1-2), pages 89-118, March.
- Min, C.K. & Zellner, A., 1992. ""Bayesian and Non-Bayesian Methods for Combining Models and Forecasts with Applications to Forecasting International Growth Rates"," Papers 90-92-23, California Irvine - School of Social Sciences.
- White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-838, May.
- Shively, Thomas S., 1988. "An analysis of tests for regression coefficient stability," Journal of Econometrics, Elsevier, vol. 39(3), pages 367-386, November.
- Lin, Chien-Fu Jeff & Terasvirta, Timo, 1994. "Testing the constancy of regression parameters against continuous structural change," Journal of Econometrics, Elsevier, vol. 62(2), pages 211-228, June.
- Watson, Mark W & Engle, Robert F, 1985. "Testing for Regression Coefficient Stability with a Stationary AR(1) Alternative," The Review of Economics and Statistics, MIT Press, vol. 67(2), pages 341-346, May.
- Bos, T & Newbold, P, 1984. "An Empirical Investigation of the Possibility of Stochastic Systematic Risk in the Market Model," The Journal of Business, University of Chicago Press, vol. 57(1), pages 35-41, January.
- Farley, John U. & Hinich, Melvin & McGuire, Timothy W., 1975. "Some comparisons of tests for a shift in the slopes of a multivariate linear time series model," Journal of Econometrics, Elsevier, vol. 3(3), pages 297-318, August. Full references (including those not matched with items on IDEAS)