Testing the Global Stability of a Linear Model

Philippe Barbe and Patrice Bertail
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Philippe Barbe: Crest
Patrice Bertail: Crest

No 2004-46, Working Papers from Center for Research in Economics and Statistics

Abstract: We propose a test for assessing the stability of a temporaleconometric linear model. The test is based on subsampling ideas moreprecisely to the consistency of the least square estimator whose behavior isstudied on subintervals over time. Our test allows to detect breakpoints onthe boundaries under reasonable assumptions. Under the null hypothesis,we derive the asymptotic distribution of some simple criteria compatiblewith the linearity of the model and study them by simulations. Wealso present a diagnostic plot which helps in determining the nature ofthe nonlinearities (outliers, structural changes, polynomial links) of theunderlying model.

Date: 2004
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