Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/56221
Authors: 
He, Changli
Sandberg, Rickard
Year of Publication: 
2005
Series/Report no.: 
SSE/EFI Working Paper Series in Economics and Finance 579
Abstract: 
In this paper we derive tests for parameter constancy when the data generating process is non-stationary against the hypothesis that the parameters of the model change smoothly over time. To obtain the asymptotic distributions of the tests we generalize many theoretical results, as well as new are introduced, in the area of unit roots. The results are derived under the assumption that the error term is a strong mixing. Small sample properties of the tests are investigated, and in particular, the power performances are satisfactory.
Subjects: 
Parameter constancy
LSTAR
Unit root
Brownian
motion
Strong mixing
JEL: 
C12
C22
C52
Document Type: 
Working Paper

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