Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/60634
Authors: 
Estrella, Arturo
Rodrigues, Anthony P.
Year of Publication: 
2005
Series/Report no.: 
Staff Report, Federal Reserve Bank of New York 232
Abstract: 
The econometrics literature contains a variety of two-sided tests for unknown breakpoints in time-series models with one or more parameters. This paper derives an analogous one-sided test that takes into account the direction of the change for a single parameter. In particular, we propose a sup t statistic, which is distributed as a normalized Brownian bridge. The method is illustrated by testing whether the reaction of monetary policy to inflation has increased since 1959.
Subjects: 
break test
monetary policy reaction function
JEL: 
C12
C22
E52
Document Type: 
Working Paper

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