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Non-Normality of the Lagrange Multiplier Statistic for Testing the Constancy of Regression Coefficients

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  • Tanaka, Katsuto

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  • Tanaka, Katsuto, 1983. "Non-Normality of the Lagrange Multiplier Statistic for Testing the Constancy of Regression Coefficients," Econometrica, Econometric Society, vol. 51(5), pages 1577-1582, September.
    • Handle: RePEc:ecm:emetrp:v:51:y:1983:i:5:p:1577-82
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    Cited by:

    1. Siem Jan Koopman & Neil Shephard & Jurgen A. Doornik, 1999. "Statistical algorithms for models in state space using SsfPack 2.2," Econometrics Journal, Royal Economic Society, vol. 2(1), pages 107-160.
    2. Kwiatkowski, Denis & Phillips, Peter C. B. & Schmidt, Peter & Shin, Yongcheol, 1992. "Testing the null hypothesis of stationarity against the alternative of a unit root : How sure are we that economic time series have a unit root?," Journal of Econometrics, Elsevier, vol. 54(1-3), pages 159-178.
    3. J. Huston McCulloch, 2005. "The Kalman Foundations of Adaptive Least Squares: Applications to Unemployment and Inflation," Computing in Economics and Finance 2005 239, Society for Computational Economics.
    4. Ha, Jeongcheol & Lee, Sangyeol, 2002. "Coefficient constancy test in AR-ARCH models," Statistics & Probability Letters, Elsevier, vol. 57(1), pages 65-77, March.
    5. Manuel Landajo & María José Presno, 2010. "Stationarity testing under nonlinear models. Some asymptotic results," Journal of Time Series Analysis, Wiley Blackwell, vol. 31(5), pages 392-405, September.
    6. Dong Shin & Man-Suk Oh, 2003. "Tests for the order of integration against higher order integration," Statistical Papers, Springer, vol. 44(3), pages 383-396, July.
    7. Siem Jan Koopman & Neil Shephard & Jurgen A. Doornik, 1999. "Statistical algorithms for models in state space using SsfPack 2.2," Econometrics Journal, Royal Economic Society, vol. 2(1), pages 107-160.

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