The moving-estimates test for parameter stability

42 Pages·1993·2.3 MB·English

by  Chu, Chia-Shang J

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Faculty Working Paper 93-0159
STX
330
B385
1993:159 COF"
The Moving-Estimates Test for
Parameter Stability-Revised
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Chia-Shang J. Chu Kurt Hornik
DepartmentofEconomics Institutfur Statistik und Wahrscheinlichkeitstheorie
University ofSouthern California Technische Universitdt Wien
Chung-Ming Kuan
DepartmentofEconomics
University ofIllinois
Bureau ofEconomic and Business Research
College ofCommerce and Business Administration
University ofIllinois at Urbana-Champaign

BEBR
FACULTY WORKING PAPER NO. 93-0159
College of Commerce and Business Administration
University of Illinois at Urbana-Champaign
September 1993
The Moving-Estimates Test for
Parameter Stability - Revised
Chia-Shang J. Chu
Kurt Hornik
Chung-Ming Kuan

THE MOVING-ESTIMATES TEST FOR
PARAMETER STABILITY
Chia-Shang J. Chu
Department of Economics
University of Southern California
Kurt Hornik
Institut fur Statistik und Wahrscheinlichkeitstheorie
Technische Universitat Wien
Chung-Ming Kuan
Department of Economics
University of Illinois at Urbana-Champaign
First Draft: August 7, 1992
Revised: September 17, 1993
* We are mostly grateful to two anonymous referees, KatsutoTanaka, and Roger Koenker, whose comments
have improved this paper significantly. We also thank Mei-Yuan Chen for his help in some simulations.
An early version ofthis paper, entitled "A moving-estimates test for parameter stability and its boundary-
crossing probability", was presented in the 1992 North American Summer Meeting of the Econometric
Society.