Testing for Constant Parameters in Nonlinear Models: A Quick Procedure with an Empirical Illustration

被引：1
|
作者：
del Hoyo, J. [1 ]
Llorente, G. [1 ]
Rivero, C. [2 ]
机构：
[1] Univ Autonoma Madrid, Dept Financiac & Invest Comercial, E-28049 Madrid, Spain
[2] Univ Autonoma Madrid, Dept Estadist & Invest Operat II, Madrid 28223, Spain
来源：
COMPUTATIONAL ECONOMICS | 2019年 / 54卷 / 01期
关键词：
Parameter instability; Nonlinear models; Linearization; Estimated variables; Wald test; Andrews' test; Asymptotic distributions; STRUCTURAL-CHANGE; HYPOTHESIS; BREAKS;
D O I：
10.1007/s10614-017-9693-5
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This paper proposes a two-step method for an omnibus misspecification test for constant parameters in nonlinear models. The procedure is easy to implement and has a low computational cost. The asymptotic distribution and the consistency of the procedure are derived. Monte Carlo simulations support the relevance of the proposed method, evaluate the performance of the procedure, and highlight its small computational load. An empirical application illustrates the relevance of the procedure.
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页码：113 / 137
页数：25
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