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dc.contributor.authorKapetanios, Georgeen_US
dc.date.accessioned2012-09-20T13:01:50Z-
dc.date.available2012-09-20T13:01:50Z-
dc.date.issued2005en_US
dc.identifier.urihttp://hdl.handle.net/10419/62908-
dc.description.abstractThe 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.en_US
dc.language.isoengen_US
dc.publisherQueen Mary, Univ. of London, Dep. of Economics Londonen_US
dc.relation.ispartofseriesWorking Paper, Department of Economics, Queen Mary, University of London 539en_US
dc.subject.jelC10en_US
dc.subject.jelC14en_US
dc.subject.ddc330en_US
dc.subject.keywordStructural change, Non-stationarity, Deterministic time-variationen_US
dc.subject.stwStrukturwandelen_US
dc.subject.stwRegressionen_US
dc.subject.stw├ľkonometrisches Modellen_US
dc.titleTests for deterministic parametric structural change in regression modelsen_US
dc.typeWorking Paperen_US
dc.identifier.ppn487168380en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
Appears in Collections:Working Paper Series, School of Economics and Finance, Queen Mary, University of London

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