A note on tests of partial parameter stability in the cointegrated system

作者：Hsu Chih Chiang^*

来源：Economics Letters, 2008, 99(3): 500-503.

DOI：10.1016/j.econlet.2007.09.043

• cointegration
• local power analysis
• partial parameter stability

This paper provides a local asymptotic analysis to show that the tests of partial parameter stability in cointegrating regressions, such as Quintos and Phillips [Quintos, C.E., Phillips, P.C.B., 1993. Parameter constancy in cointegrating regressions, Empirical Economics 18, 675-703] and Kuo [Kuo, B.S., 1998. Test for partial parameter instability in regressions with I(1) processes, Journal of Econometrics 86, 337-368], are not pivotal as long as there are changes in parameters not being tested.

• 出版日期2008-6
• 单位中央民族大学