A general test for time dependence in parameters

Ralf Becker; Walter Enders; Stan Hurn

doi:10.1002/jae.751

A general test for time dependence in parameters

Ralf Becker, Walter Enders, Stan Hurn

Economics

Research output: Contribution to journal › Article › peer-review

Abstract

A new test for time-dependent parameters is proposed. The Trig-test is based on a trigonometric expansion to approximate the unknown functional form of the variation in the parameters concerned. It is shown to have the correct empirical size and excellent power to detect structural breaks and stochastic parameter variation. The appropriate use of the Trig-test is demonstrated by testing for structural breaks in the US inflation rate. The test detects a statistically significant increase in the US inflation rate beginning in the early 1970s and lasting through to the early 1980s. Copyright © 2004 John Wiley & Sons, Ltd.

Original language	English
Pages (from-to)	899-906
Number of pages	7
Journal	Journal of Applied Econometrics
Volume	19
Issue number	7
DOIs	https://doi.org/10.1002/jae.751
Publication status	Published - Nov 2004

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title = "A general test for time dependence in parameters",

abstract = "A new test for time-dependent parameters is proposed. The Trig-test is based on a trigonometric expansion to approximate the unknown functional form of the variation in the parameters concerned. It is shown to have the correct empirical size and excellent power to detect structural breaks and stochastic parameter variation. The appropriate use of the Trig-test is demonstrated by testing for structural breaks in the US inflation rate. The test detects a statistically significant increase in the US inflation rate beginning in the early 1970s and lasting through to the early 1980s. Copyright {\textcopyright} 2004 John Wiley & Sons, Ltd.",

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AB - A new test for time-dependent parameters is proposed. The Trig-test is based on a trigonometric expansion to approximate the unknown functional form of the variation in the parameters concerned. It is shown to have the correct empirical size and excellent power to detect structural breaks and stochastic parameter variation. The appropriate use of the Trig-test is demonstrated by testing for structural breaks in the US inflation rate. The test detects a statistically significant increase in the US inflation rate beginning in the early 1970s and lasting through to the early 1980s. Copyright © 2004 John Wiley & Sons, Ltd.

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A general test for time dependence in parameters

Abstract

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