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Modelling Nonlinear Economic Time Series$
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Timo Teräsvirta, Dag Tjøstheim, and Clive W. J. Granger

Print publication date: 2010

Print ISBN-13: 9780199587148

Published to Oxford Scholarship Online: May 2011

DOI: 10.1093/acprof:oso/9780199587148.001.0001

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Testing parameter constancy

Testing parameter constancy

Chapter:
(p.92) 6 Testing parameter constancy
Source:
Modelling Nonlinear Economic Time Series
Author(s):

Timo Teräsvirta

Dag Tjøstheim (Contributor Webpage)

W. J. Granger

Publisher:
Oxford University Press
DOI:10.1093/acprof:oso/9780199587148.003.0006

This chapter begins by a introducing the well known Chow test of a single structural break in a linear model. The more general case in which the break‐point is assumed unknown is discussed next. This case involves an identification problem similar to that treated in Chapter 5. Lagrange multiplier tests designed for discovering not only breaks but smooth shifts in parameters receive attention, and the discussion is extended to vector models as well. Tests building on recursive estimation of parameters of the (linear) model are considered as well as tests of parameter constancy against stochastically varying parameters.

Keywords:   Chow test, CUSUM test, Nyblom test, parameter constancy, recursive estimation, stochastic parameter model, structural break, time‐varying parameter model

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