Alternative Tests for Parameter Stability

• Published in: Communications in statistics. Simulation and computation Vol. 35; no. 2; pp. 347 - 360
• Main Author: Khedhiri, Sami
• Format: Journal Article
• Language: English
• Published: Colchester Taylor & Francis Group 01-07-2006; Taylor & Francis
• Subjects: Central Limit Theory; Exact sciences and technology; Limit theorems; Linear inference, regression; Mathematics; Monte Carlo methods; Moving estimators; Numerical analysis; Numerical analysis. Scientific computation; Numerical methods in probability and statistics; Probability and statistics; Probability theory and stochastic processes; Sciences and techniques of general use; Statistics; Structural change; Monte Carlo method; Stability; Critical value; 62J05; Central Limit Theory; Moving estimators; Statistical method; Hypothesis test; Monte Carlo methods; Central limit theorem; Distribution function; Numerical simulation; Moving estimator; 65C05; Structural change
• ISSN: 0361-0918; 1532-4141
• DOI: 10.1080/03610910600591479

We propose new tests for parameter stability based on estimates computed from a sequence of subsamples moving forward and backward across the sample. We obtain a sequence of moving estimates tests and we derive their asymptotic null distribution based on the functional central limit theorem. The critical values are approximated using Durbin's method. Our simulation results show that these tests have comparable size and slightly higher power in detecting structural change than other competing tests.