A note on tests for partial parameter instability in the trend stationary model
Journal
Economics Letters
Journal Issue
65
Pages
285-291
Date Issued
1999
Author(s)
Abstract
We consider a general class of estimates-based tests for partial parameter instability in the trend-stationary model. We show analytically that these tests depend on both coefficients even in the limit and hence are inappropriate for detecting the changing coefficient. © Elsevier Science S.A. All rights reserved.
SDGs
Type
journal article