Structural change tests under regression misspecifications

Authors
Yang, J
Citation
J. Yang, Structural change tests under regression misspecifications, ECON LETT, 70(3), 2001, pp. 311-317
Citations number
7
Categorie Soggetti
Economics
Journal title
ECONOMICS LETTERS
ISSN journal
01651765 → ACNP
Volume
70
Issue
3
Year of publication
2001
Pages
311 - 317
Database
ISI
SICI code
0165-1765(200103)70:3<311:SCTURM>2.0.ZU;2-K
Abstract
This paper considers structural change tests under regression misspecificat ions. The asymptotic distortions of regression misspecifications on the Sup -Wald statistic are quantified for a class of drifting data generating proc esses. It is found that there is no asymptotic distortion caused by regress ion misspecifications when the misspecification term possesses no shifts. ( C) 2001 Elsevier Science B.V. All rights reserved.