Testing for Time Dependence in Parameters

Ralf Becker, Walter Enders and Stan Hurn (s.hurn@qut.edu.au)

No 58, Research Paper Series from Quantitative Finance Research Centre, University of Technology, Sydney

Abstract: This paper proposes a new test based on a Fourier series expansion to approximate the unknown functional form of a nonlinear time-series model. The test specifically allows for structural breaks, seasonal parameters and time-varying parameters. The test is shown to have evry good size and power properties. However, it is not especially good in detecting nonlinearity in variables. As such, the test can help determine whether an observed rejection of the joint null hypothesis of linearity and time invariant parameters is due to time-varying coefficients of a nonliearity in variables.

Keywords: time varying parameters; fourier-series; nuisance parameters (search for similar items in EconPapers)
JEL-codes: C51 C52 G12 (search for similar items in EconPapers)
Pages: 34 pages
Date: 2001-06-01
References: Add references at CitEc
Citations: View citations in EconPapers (12)

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