TESTING THE CONSTANCY OF REGRESSION PARAMETERS AGAINST CONTINUOUS STRUCTURAL-CHANGE

被引：169

作者：

LIN, CFJ

TERASVIRTA, T

机构：

[1] BANK NORWAY,RES DEPT,PB 1179 SENTRUM,N-0107 OSLO,NORWAY

[2] NATL TAIWAN UNIV,TAIPEI 104,TAIWAN

来源：

JOURNAL OF ECONOMETRICS | 1994年 / 62卷 / 02期

关键词：

LAGRANGE MULTIPLIER TEST; NONLINEAR REGRESSION; SMOOTH TRANSITION REGRESSION; STRUCTURAL BREAK;

D O I：

10.1016/0304-4076(94)90022-1

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

A standard explicit or implicit assumption underlying many parameter constancy tests in linear models is that there is a single structural break in the sample. In this paper that assumption is replaced by a more general one stating that the parameters of the model may change continuously over time. The pattern of change is parameterized giving rise to a set of parameter constancy tests against a parameterized alternative. The power properties of the LM type tests in small samples are compared to those of other tests like the CUSUM and Fluctuation Test by simulation and found very satisfactory. An application is considered.

引用

页码：211 / 228

页数：18

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