Testing for Parameter Constancy in Linear Regressions: An Empirical Distribution Function Approach

DOI10.2307/2171863zbMath0844.62032OpenAlexW1970909640MaRDI QIDQ4883105

Jushan Bai

Publication date: 1 July 1996

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/1721.1/64273

zbMATH Keywords

weak convergenceasymptotically distribution freestructural changetwo-parameter Brownian bridgelocal power analysiserror heterogeneitytests for parameter constancyroot-\(n\) consistent estimatorweighted empirical distribution functions of estimated residualsweighted sequential empirical processes

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Linear regression; mixed models (62J05) Order statistics; empirical distribution functions (62G30)

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