The DOI matches its Crossref record; 23 of the 23 references it cites were found in a registry or an index.
A general test for time dependence in parameters
Abstract
A new test for time‐dependent parameters is proposed. The Trig‐test is based on a trigonometric expansion to approximate the unknown functional form of the variation in the parameters concerned. It is shown to have the correct empirical size and excellent power to detect structural breaks and stochastic parameter variation. The appropriate use of the Trig‐test is demonstrated by testing for structural breaks in the US inflation rate. The test detects a statistically significant increase in the US inflation rate beginning in the early 1970s and lasting through to the early 1980s. Copyright © 2004 John Wiley & Sons, Ltd.
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Cites
The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
Perron, P. (1989) · Econometrica · doi:10.2307/1913712 · Cited by 7,732
Estimating and Testing Linear Models with Multiple Structural Changes
Bai, J., & Perron, P. (1998) · Econometrica · doi:10.2307/2998540 · Cited by 6,112
Computation and analysis of multiple structural change models
Bai, J., & Perron, P. (2003) · Journal of Applied Econometrics · doi:10.1002/jae.659 · Cited by 5,771
Techniques for Testing the Constancy of Regression Relationships Over Time
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Forecasting, Structural Time Series Models and the Kalman Filter
Fildes, R., Harvey, A. C., West, M., & Harrison, J. (1991) · The Journal of the Operational Research Society · doi:10.2307/2583225 · Cited by 4,682
Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
Andrews, D. W. K., & Ploberger, W. (1994) · Econometrica · doi:10.2307/2951753 · Cited by 2,466
Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis
Hansen, B. E. (1996) · Econometrica · doi:10.2307/2171789 · Cited by 2,269
Hypothesis testing when a nuisance parameter is present only under the alternative
DAVIES, R. B. (1987) · Biometrika · doi:10.1093/biomet/74.1.33 · Cited by 2,056
Testing for the Constancy of Parameters over Time
Nyblom, J. (1989) · Journal of the American Statistical Association · doi:10.1080/01621459.1989.10478759 · Cited by 968
Bootstrap and Wild Bootstrap for High Dimensional Linear Models
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Cited by
Çelik, O., Adali, Z., & Bari, B. (2022) · Environmental Science and Pollution Research · doi:10.1007/s11356-022-23178-3 · Cited by 18
Metadata
- Authors
- Becker, R., Enders, W., & Hurn, S.
- Venue
- Journal of Applied Econometrics
- Publisher
- Wiley
- Published
- 2004-05-17
- Volume
- 19
- Issue
- 7
- Pages
- 899-906
- ISSN
- 0883-7252 (ISSN-L)
- 1099-1255
- OpenAlex
- W2129821275
- Cited by
- 257
- References
- 23
- FWCI
- 5.36
- Type
- journal article
- Language
- en
- Open access
- closed
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