Arbeitspapier
Tests for deterministic parametric structural change in regression models
The problem of structural change justifiably attracts considerable attention in econometrics. A number of different paradigms have been adopted ranging from structural breaks which are sudden and rare to time-varying coefficient models which exhibit structural change more frequently and continuously. This paper is concerned with parametric econometric models whose coefficients change deterministically and smoothly over time. In particular we provide and discuss tests for the null hypothesis of no structural change versus the alternative hypothesis of smooth deterministic structural change. We provide asymptotic tests for this null hypothesis. However, the finite sample performance of these tests is not good as they overreject significantly. To address this problem we propose and justify bootstrap based tests. These tests perform well in an extensive Monte Carlo study.
- Language
-
Englisch
- Bibliographic citation
-
Series: Working Paper ; No. 539
- Classification
-
Wirtschaft
Econometric and Statistical Methods and Methodology: General
Semiparametric and Nonparametric Methods: General
- Subject
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Structural change, Non-stationarity, Deterministic time-variation
Strukturwandel
Regression
Ökonometrisches Modell
- Event
-
Geistige Schöpfung
- (who)
-
Kapetanios, George
- Event
-
Veröffentlichung
- (who)
-
Queen Mary University of London, Department of Economics
- (where)
-
London
- (when)
-
2005
- Handle
- Last update
-
10.03.2025, 11:46 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Kapetanios, George
- Queen Mary University of London, Department of Economics
Time of origin
- 2005
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