A note on tests for partial parameter instability in the trend stationary model

Authors
Kuan, CM
Citation
Cm. Kuan, A note on tests for partial parameter instability in the trend stationary model, ECON LETT, 65(3), 1999, pp. 285-291
Citations number
3
Categorie Soggetti
Economics
Journal title
ECONOMICS LETTERS
ISSN journal
01651765 → ACNP
Volume
65
Issue
3
Year of publication
1999
Pages
285 - 291
Database
ISI
SICI code
0165-1765(199912)65:3<285:ANOTFP>2.0.ZU;2-7
Abstract
We consider a general class of estimates-based tests for partial parameter instability in the trend-stationary model. We show analytically that these tests depend on both coefficients even in the limit and hence are inappropr iate for detecting the changing coefficient. (C) 1999 Elsevier Science S.A. All rights reserved.