Skip navigation
Logo
User training | Reference and search service

Library catalog

Retrievo
EDS
b-on
More
resources
Content aggregators
Please use this identifier to cite or link to this item:

acessibilidade

http://hdl.handle.net/10071/7334
acessibilidade
Title: Testing for Parameter Constancy Using Chebyshev Time Polynomials
Authors: Martins, L. F.
Issue Date: Jul-2013
Publisher: Blackwell Publishers
Abstract: We propose a simple method of testing for parameter constancy in regression models with stationary data that allow for coefficients that vary smoothly over time. The method is shown to have good statistical properties. A sieve bootstrapping procedure is suggested to improve the finite sample size of the test for a large number of time polynomials in autoregressive models. We revisited Hansen's study (Journal of Economic Perspectives, Vol. 15 (2001), pp. 117-128) of structural breaks in a first-order autoregressive model of labor productivity in the US manufacturing/durables sector and found evidence of time-varying autoregressive parameter.
Description: WOS:000320622700007 (Nº de Acesso Web of Science)
Peer reviewed: Sim
URI: https://ciencia.iscte-iul.pt/public/pub/id/15044
http://hdl.handle.net/10071/7334
ISSN: 1463-6786
Publisher version: The definitive version is available at: http://dx.doi.org/10.1111/j.1467-9957.2012.02306.x
Appears in Collections:BRU-RI - Artigo em revista científica internacional com arbitragem científica

Files in This Item:
acessibilidade
File Description SizeFormat 
publisher_version_10.1111-j.1467-9957.2012.02306.x.pdf164.79 kBAdobe PDFView/Open    Request a copy


FacebookTwitterDeliciousLinkedInDiggGoogle BookmarksMySpace
Formato BibTex MendeleyEndnote Currículo DeGóis 

Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.