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| Tekijä: | Chien-Fu, J. L. Teräsvirta, T. |
| Otsikko: | Testing parameter constancy in linear models against stochastic stationary parameters |
| Lehti: | Journal of Econometrics
1999 : JUN, VOL. 90:2, p. 193-213 |
| Asiasana: | Models |
| Vapaa asiasana: | Lagrange multiplier Time varying parameters |
| Kieli: | eng |
| Tiivistelmä: | In the paper, testing parameter constancy is considered in a linear model when the alternative is that a subset of the parameters follows 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 null distribution. However, in the present situation 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 statisfactory. The test retains its power when the alternative to parameter constancy is a random walk parameter process. |
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