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.

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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.

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85 citations in Scopus
74 citations in Web of Science®
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ID Code: 8374
Item Type: Journal Article
Refereed: Yes
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
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 00:00
Last Modified: 23 Sep 2013 06:33

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