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Parametric and Semi-Parametric Efficient Tests for Parameter Instability

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  • Dong Jin Lee

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  • Dong Jin Lee, 2016. "Parametric and Semi-Parametric Efficient Tests for Parameter Instability," Journal of Time Series Analysis, Wiley Blackwell, vol. 37(4), pages 451-475, July.
    • Handle: RePEc:bla:jtsera:v:37:y:2016:i:4:p:451-475
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    1. Drost, Feike C. & Klaassen, Chris A. J., 1997. "Efficient estimation in semiparametric GARCH models," Journal of Econometrics, Elsevier, vol. 81(1), pages 193-221, November.
    2. Marc Hallin & Abdelhadi Akharif, 2003. "Efficient detection of random coefficients in AR(p) models," ULB Institutional Repository 2013/2121, ULB -- Universite Libre de Bruxelles.
    3. Graham Elliott & Ulrich K. Muller, 2006. "Efficient Tests for General Persistent Time Variation in Regression Coefficients," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 73(4), pages 907-940.
    4. Andrews, Donald W K & Ploberger, Werner, 1994. "Optimal Tests When a Nuisance Parameter Is Present Only under the Alternative," Econometrica, Econometric Society, vol. 62(6), pages 1383-1414, November.
    5. Dong Jin Lee, 2011. "Bootstrap Tests for Structural Breaks When the Regressors and Error Term are Nonstationary," Working papers 2011-05, University of Connecticut, Department of Economics.
    6. Michael Jansson, 2008. "Semiparametric Power Envelopes for Tests of the Unit Root Hypothesis," Econometrica, Econometric Society, vol. 76(5), pages 1103-1142, September.
    7. Andrews, Donald W. K. & Lee, Inpyo & Ploberger, Werner, 1996. "Optimal changepoint tests for normal linear regression," Journal of Econometrics, Elsevier, vol. 70(1), pages 9-38, January.
    8. Rothenberg, Thomas J. & Stock, James H., 1997. "Inference in a nearly integrated autoregressive model with nonnormal innovations," Journal of Econometrics, Elsevier, vol. 80(2), pages 269-286, October.
    9. 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.
    10. Abdelhadi Akharif & Marc Hallin, 2003. "Efficient detection of random coefficients in autoregressive models," ULB Institutional Repository 2013/127956, ULB -- Universite Libre de Bruxelles.
    11. Hansen, Bruce E., 2000. "Testing for structural change in conditional models," Journal of Econometrics, Elsevier, vol. 97(1), pages 93-115, July.
    12. Jeganathan, P., 1995. "Some Aspects of Asymptotic Theory with Applications to Time Series Models," Econometric Theory, Cambridge University Press, vol. 11(5), pages 818-887, October.
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    Cited by:

    1. Dong Jin Lee, 2021. "Bootstrap tests for structural breaks when the regressors and the serially correlated error term are unstable," Bulletin of Economic Research, Wiley Blackwell, vol. 73(2), pages 212-229, April.
    2. Dong Jin Lee, 2020. "Optimal tests for parameter breaking process in conditional quantile models," The Japanese Economic Review, Springer, vol. 71(3), pages 479-510, July.

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