Hostname: page-component-8448b6f56d-tj2md Total loading time: 0 Render date: 2024-04-17T21:22:13.268Z Has data issue: false hasContentIssue false
  • English
  • Français

The Moving-Estimates Test for Parameter Stability

Published online by Cambridge University Press:  11 February 2009

Chia-Shang James Chu ,
Kurt Hornik  and
Chung-Ming Kuan
Get access Rights & Permissions [Opens in a new window]

Abstract

In this paper a new class of tests for parameter stability, the moving-estimates (ME) test, is proposed. It is shown that in the standard situation the ME test asymptotically equivalent to the maximal likelihood ratio test under the alternative of a temporary parameter shift. It is also shown that the asymptotic null distribution of the ME test is determined by the increments of a vector Brownian bridge and that under a broad class of alternatives the ME test is consistent and has nontrivial local power in general. Our simulations also demonstrate that the proposed test has power superior to other competing tests when parameters are temporarily instable.

Type
Research Article
Information
Econometric Theory , Volume 11 , Issue 4 , August 1995 , pp. 699 - 720
Copyright
Copyright © Cambridge University Press 1995

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

References

REFERENCES

Andrews, D.W.K. (1991) Heteroskedasticity and autocorrelation consistent covariance matrix estimation. Econometrica 59, 817–858.CrossRefGoogle Scholar
Andrews, D.W.K. (1993) Tests for parameter instability and structural change with unknown change points. Econometrica 61, 821–856.10.2307/2951764CrossRefGoogle Scholar
Andrews, D.W.K., Lee, I., & Ploberger, W. (1992) Optimal Changepoint Tests for Normal Linear Regression. Cowles Foundation discussion paper 1016, Yale University.Google Scholar
Andrews, D.W.K. & Ploberger, W. (1995) Optimal tests when a nuisance parameter is present only under the alternative. Econometrica, forthcoming.Google Scholar
Banerjee, A., Lumsdaine, R.L., & Stock, J.H. (1992) Recursive and sequential tests of the unit root and trend break hypotheses: Theory and international evidence. Journal of Business and Economic Statistics 10, 271–287.CrossRefGoogle Scholar
Billingsley, P. (1968) Convergence of Probability Measures. New York: Wiley.Google Scholar
Brown, R.L., Durbin, J., & Evans, J.M. (1975) Techniques for testing the constancy of regression relationships over time. Journal of the Royal Statistical Society, Series B 37, 149–163.Google Scholar
Chow, G.C. (1960) Tests of equality between sets of coefficients in two linear regressions. Econometrica 28, 591–605.10.2307/1910133CrossRefGoogle Scholar
Chu, C.-S.J. (1990) The Econometrics of Structural Change. Ph.D. Dissertation, University of California at San Diego.Google Scholar
Chu, C.-S.J., Hornik, K., & Kuan, C.-M. (1993) The Moving-Estimates Test for Parameter Stability. BEBR working paper 93–0159 (revision of 92–0148), College of Commerce, University of Illinois.Google Scholar
Chu, C.-S.J. & White, H. (1992) A direct test for changing trend. Journal of Business and Economic Statistics 10, 289–299.CrossRefGoogle Scholar
Cleveland, W.S. (1979) Robust locally weighted regression and smoothing scatter-plots. Journal of the American Statistical Association 74, 829–836.10.1080/01621459.1979.10481038CrossRefGoogle Scholar
Hansen, B.E. (1992) Tests for parameter instability in regressions with I (1) processes. Journal of Business and Economic Statistics 10, 321–335.Google Scholar
Hawkins, D.L. (1987) A test for a change point in a parametric model based on a maximal Waldtype statistic. Sankhyā: Indian Journal of Statistics 49, 368–376.Google Scholar
Hornik, K. (1993) On the distribution of functional of stationary Gaussian processes. Statistic and Probability Letters 18, 389–395.10.1016/0167-7152(93)90033-FCrossRefGoogle Scholar
Kuan, C.-M. & Chen, M.-Y. (1994) Implementing the fluctuation and moving-estimates tests in dynamic econometric models. Economics Letters 44, 235–239.10.1016/0165-1765(93)00360-ZCrossRefGoogle Scholar
Newey, W.K. & West, K.D. (1987) A simple, positive semi-definite heteroskedasticity and autocorrelation consistent covariance matrix. Econometrica 55, 703–708.CrossRefGoogle Scholar
Ploberger, W., Krämer, W., & Kontrus, K. (1989) A new test for structural stability in the linear regression model. Journal of Econometrics 40, 307–318.CrossRefGoogle Scholar
Sen, P.K. (1980) Asymptotic theory of some tests for a possible change in the regression slope occurring at an unknown time point. Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Cebiete 52, 203–218.CrossRefGoogle Scholar
Wooldridge, J.M. & White, H. (1988) Some invariance principles and central limit theorems for dependent heterogeneous processes. Econometric Theory 4, 210–230.CrossRefGoogle Scholar