Testing for structural breaks with local smoothers: A simulation study
Küçük Resim Yok
Tarih
2014
Yazarlar
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Elsevier Science Sa
Erişim Hakkı
info:eu-repo/semantics/closedAccess
Özet
By means of an extensive Monte Carlo simulation study based on the design of Chen and Hong (2012) we compare the performance of the tests they proposed for parameter stability with the linearity test of Li et al. (2002) and the functional form test of Li and Wang (1998). We find that the test of Li et al. (2002) test adapted to testing for parameter stability performs favorably well in terms of size and equally well in terms of power compared with the others, whereas the test by Li and Wang has no power. (C) 2014 Elsevier B.V. All rights reserved.
Açıklama
Anahtar Kelimeler
Parameter Stability, Smooth Coefficient Model, Smooth Structural Change, Time-Series Models, Regression
Kaynak
Economics Letters
WoS Q Değeri
Q3
Scopus Q Değeri
Q2
Cilt
125
Sayı
1
