A general test for time dependence in parameters

被引：161
|
作者：
Becker, R
Enders, W
Hurn, S
机构：
[1] Univ Alabama, Dept Econ Finance & Legal Studies, Tuscaloosa, AL 35487 USA
[2] Queensland Univ Technol, Brisbane, Qld, Australia
来源：
JOURNAL OF APPLIED ECONOMETRICS | 2004年 / 19卷 / 07期
关键词：
D O I：
10.1002/jae.751
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
A new test for time-dependent parameters is proposed. The Trig-test is based on a trigonometric expansion to approximate the unknown functional form of the variation in the parameters concerned. It is shown to have the correct empirical size and excellent power to detect structural breaks and stochastic parameter variation. The appropriate use of the Trig-test is demonstrated by testing for structural breaks in the US inflation rate. The test detects a statistically significant increase in the US inflation rate beginning in the early 1970s and lasting through to the early 1980s. Copyright (C) 2004 John Wiley Sons, Ltd.
引用
收藏
页码：899 / 906
页数：8
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