Financial support under grant PTDC/ECO/68367/2006 from the Fundação Ciência e Tecnologia (FCT) is gratefully acknowledged. The author thanks the journal editor Chris Orme for having suggested bootstrapping procedures.
TESTING FOR PARAMETER CONSTANCY USING CHEBYSHEV TIME POLYNOMIALS*
Article first published online: 28 MAY 2012
© 2012 The Author. The Manchester School © 2012 John Wiley & Sons Ltd and The University of Manchester
The Manchester School
Volume 81, Issue 4, pages 586–598, July 2013
How to Cite
MARTINS, L. F. (2013), TESTING FOR PARAMETER CONSTANCY USING CHEBYSHEV TIME POLYNOMIALS. The Manchester School, 81: 586–598. doi: 10.1111/j.1467-9957.2012.02306.x
Manuscript received 17.2.11; final version received 13.9.11.
- Issue published online: 18 JUN 2013
- Article first published online: 28 MAY 2012
We propose a simple method of testing for parameter constancy in regression models with stationary data that allow for coefficients that vary smoothly over time. The method is shown to have good statistical properties. A sieve bootstrapping procedure is suggested to improve the finite sample size of the test for a large number of time polynomials in autoregressive models. We revisited Hansen's study (Journal of Economic Perspectives, Vol. 15 (2001), pp. 117–128) of structural breaks in a first-order autoregressive model of labor productivity in the US manufacturing/durables sector and found evidence of time-varying autoregressive parameter.