SSE/EFI Working Paper Series in Economics and Finance
Testing Parameter Constancy in Unit Root Autoregressive Models Against Continuous Change
() and Rickard Sandberg
Abstract: In this paper we derive tests for parameter constancy when
the data generating process is non-stationary against the hypothesis that
the parameters of the model change smoothly over time. To obtain the
asymptotic distributions of the tests we generalize many theoretical
results, as well as new are introduced, in the area of unit roots. The
results are derived under the assumption that the error term is a strong
mixing. Small sample properties of the tests are investigated, and in
particular, the power performances are satisfactory.
Keywords: Parameter constancy; LSTAR; Unit root; Brownian; motion; Strong mixing; (follow links to similar papers)
JEL-Codes: C12; C22; C52; (follow links to similar papers)
26 pages, January 21, 2005, Revised February 8, 2005
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