A General Test for Time Dependence in Parameters
Description
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:
Citation counts are 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: | Contribution to Journal (Journal Article) | ||
| Refereed: | Yes | ||
| ORCID iD: |
|
||
| Measurements or Duration: | 9 pages | ||
| DOI: | 10.1002/jae.751 | ||
| ISSN: | 0883-7252 | ||
| Pure ID: | 34117014 | ||
| Divisions: | Past > QUT Faculties & Divisions > QUT Business School Current > Schools > School of Economics & Finance |
||
| Copyright Owner: | Consult author(s) regarding copyright matters | ||
| Copyright Statement: | This work is covered by copyright. Unless the document is being made available under a Creative Commons Licence, you must assume that re-use is limited to personal use and that permission from the copyright owner must be obtained for all other uses. If the document is available under a Creative Commons License (or other specified license) then refer to the Licence for details of permitted re-use. It is a condition of access that users recognise and abide by the legal requirements associated with these rights. If you believe that this work infringes copyright please provide details by email to qut.copyright@qut.edu.au | ||
| Deposited On: | 02 Jul 2007 00:00 | ||
| Last Modified: | 29 Jul 2024 19:52 |
Export: EndNote | Dublin Core | BibTeX
Repository Staff Only: item control page
CORE (COnnecting REpositories)
CORE (COnnecting REpositories)