Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/56221 
Erscheinungsjahr: 
2005
Schriftenreihe/Nr.: 
SSE/EFI Working Paper Series in Economics and Finance No. 579
Verlag: 
Stockholm School of Economics, The Economic Research Institute (EFI), Stockholm
Zusammenfassung: 
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.
Schlagwörter: 
Parameter constancy
LSTAR
Unit root
Brownian
motion
Strong mixing
JEL: 
C12
C22
C52
Dokumentart: 
Working Paper

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