Testing for Constant Parameters in Nonlinear Models: A Quick Procedure with an Empirical Illustration

J. Hoyo (), G. Llorente () and C. Rivero ()
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J. Hoyo: Universidad Autónoma de Madrid
G. Llorente: Universidad Autónoma de Madrid
C. Rivero: Universidad Complutense de Madrid

Computational Economics, 2019, vol. 54, issue 1, No 7, 113-137

Abstract: Abstract This paper proposes a two-step method for an omnibus misspecification test for constant parameters in nonlinear models. The procedure is easy to implement and has a low computational cost. The asymptotic distribution and the consistency of the procedure are derived. Monte Carlo simulations support the relevance of the proposed method, evaluate the performance of the procedure, and highlight its small computational load. An empirical application illustrates the relevance of the procedure.

Keywords: Parameter instability; Nonlinear models; Linearization; Estimated variables; Wald test; Andrews’ test; Asymptotic distributions (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (1)

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DOI: 10.1007/s10614-017-9693-5

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