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Tests for Parameter Instability in Regressions with I(1) Processes
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Tests for Parameter Instability in Regressions with I(1) Processes
Tests for Parameter Instability in Regressions with I(1) Processes
BH
Bruce E. Hansen
Bruce E. Hansen
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1 July 1992
journal article
Published by
JSTOR
in
Journal of Business & Economic Statistics
Vol. 10
(3)
,
321
https://doi.org/10.2307/1391545
Abstract
This article derives the large-sample distributions of Lagrange multiplier (LM) tests for parameter instability against several alternatives of interest in the ...
Keywords
LAGRANGE MULTIPLIER
INTEREST
PARAMETER INSTABILITY
LARGE SAMPLE
SAMPLE DISTRIBUTIONS
ARTICLE DERIVES
All Articles
Open Access
Cited by 332 articles