Testing for structural breaks with local smoothers: A simulation study

Serda Ozturk () and Thanasis Stengos

Economics Letters, 2014, vol. 125, issue 1, 119-122

Abstract: By means of an extensive Monte Carlo simulation study based on the design of Chen and Hong (2012) we compare the performance of the tests they proposed for parameter stability with the linearity test of Li et al. (2002) and the functional form test of Li and Wang (1998). We find that the test of Li et al. (2002) test adapted to testing for parameter stability performs favorably well in terms of size and equally well in terms of power compared with the others, whereas the test by Li and Wang has no power.

Keywords: Parameter stability; Smooth coefficient model; Smooth structural change (search for similar items in EconPapers)
JEL-codes: C12 C14 (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:125:y:2014:i:1:p:119-122

DOI: 10.1016/j.econlet.2014.08.009

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