QUT ePrints

A general test for time dependence in parameters

Becker, Ralf, Enders, Walter, & Hurn, Stanley (2004) A general test for time dependence in parameters. Journal of Applied Econometrics, 19(7), pp. 899-906.

View at publisher

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.

Impact and interest:

55 citations in Scopus
Search Google Scholar™
49 citations in Web of Science®

Citation countsare sourced monthly from Scopus and Web of Science® citation databases.

These databases contain citations from different subsets of available publications and different time periods and thus the citation count from each is usually different. Some works are not in either database and no count is displayed. Scopus includes citations from articles published in 1996 onwards, and Web of Science® generally from 1980 onwards.

Citations counts from the Google Scholar™ indexing service can be viewed at the linked Google Scholar™ search.

ID Code: 8374
Item Type: Journal Article
Additional Information: For more information, please refer to the journal’s website (see hypertext link) or contact the author. Author contact details: s.hurn@qut.edu.au
Keywords: TIME DEPENDENCE, PARAMETERS, Trig, test
DOI: 10.1002/jae.751
ISSN: 0883-7252
Subjects: Australian and New Zealand Standard Research Classification > ECONOMICS (140000)
Divisions: Current > QUT Faculties and Divisions > QUT Business School
Current > Schools > School of Economics & Finance
Copyright Owner: Copyright 2004 John Wiley & Sons
Deposited On: 02 Jul 2007
Last Modified: 23 Sep 2013 16:33

Export: EndNote | Dublin Core | BibTeX

Repository Staff Only: item control page