A simple test for parameter constancy in a nonlinear time series regression model

DOI10.1016/0165-1765(92)90047-3zbMath0760.62086OpenAlexW2052754798MaRDI QIDQ1206328

B. P. M. McCabe, Stephen J. Leybourne

Publication date: 1 April 1993

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0165-1765(92)90047-3

zbMATH Keywords

asymptotic distributionnormalityrandom walkfirst order Taylor series expansionnonlinear time series regression modeltest for parameter constancy

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) General nonlinear regression (62J02)

Related Items

On the power of stationarity tests using optimal bandwidth estimates ⋮ Testing of unit root and other nonstationary hypotheses in macroeconomic time series ⋮ A simple panel stationarity test in the presence of serial correlation and a common factor ⋮ A parametric stationarity test with smooth breaks ⋮ Locally optimal one-sided tests for multiparameter hypotheses ⋮ Does the method of data detrending matter? A study of the KPSS test against long memory alternatives

Uses Software

• nlmdl

Cites Work

• Multiple Time Series Regression with Integrated Processes
• Asymptotic Properties of Non-Linear Least Squares Estimators
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