Testing the constancy of regression parameters against continuous structural change

DOI10.1016/0304-4076(94)90022-1zbMath0796.62054OpenAlexW2012214132MaRDI QIDQ1329130

Timo Teräsvirta, Chien-Fu Jeff Lin

Publication date: 11 October 1994

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(94)90022-1

zbMATH Keywords

simulationlinear modelstructural breakLagrange multiplier testsCUSUM testfluctuation testsmall samplespower propertiesparameter constancy testsparametrized alternativesmooth transition regression

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Parametric hypothesis testing (62F03) General nonlinear regression (62J02)

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