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    题名: Test for partial parameter instability in regressions with I(1) processes
    作者: 郭炳伸
    Kuo,Biing-Shen
    关键词: Cointegration;Subset test;Fully modified estimator;Brownian motion
    日期: 1998
    上传时间: 2008-12-03 13:50:50 (UTC+8)
    摘要: This paper derives the limiting distribution of LM-type tests for possible departure from constancy in ‘subsets’ of cointegrating coefficients. In particular, models with nonconstancy on intercept or stochastic trend coefficients are considered. It is found that the limiting representations of these subset tests can be characterized as functions of continuous-time martingales depending on the asymptotics of both the whole regressor vector and the regressors whose coefficients are under tests. Critical values are computed using large-sample approximation. Monte Carlo experiments are conducted to investigate the finite sample size and power. The subset tests are found to dominate the joint test when there is partial coefficient variation.
    關聯: Journal of Econometrics,86(2), 337-368
    数据类型: article
    DOI 連結: http://dx.doi.org/10.1016/S0304-4076(98)00005-0
    DOI: 10.1016/S0304-4076(98)00005-0
    显示于类别:[國際經營與貿易學系 ] 期刊論文

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