TY - JOUR
T1 - A note on tests of partial parameter stability in the cointegrated system
AU - Hsu, Chih Chiang
N1 - Funding Information:
I wish to thank B.-S. Kuo, C.-M. Kuan, B. Seo, and the anonymus referee for their useful comments and suggestions on the original manuscript. Financial support is ackknowledged from the National Science Council of the Republic of China (NSC90-2415-H008-006).
PY - 2008/6
Y1 - 2008/6
N2 - 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.
AB - 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.
KW - Cointegration
KW - Local power analysis
KW - Partial parameter stability
UR - http://www.scopus.com/inward/record.url?scp=43849110109&partnerID=8YFLogxK
U2 - 10.1016/j.econlet.2007.09.043
DO - 10.1016/j.econlet.2007.09.043
M3 - 期刊論文
AN - SCOPUS:43849110109
SN - 0165-1765
VL - 99
SP - 500
EP - 503
JO - Economics Letters
JF - Economics Letters
IS - 3
ER -