Testing for parameter instability in linear models

By B. Hansen. 1992

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Generalized random forests (2016, methodology): “(2008); conceptually, it is closely related to standard techniques for moment-based change-point detection (Andrews, 1993; Hansen, 1992; Hjort and Koning, 2002; Nyblom, 1989; Ploberger and Krämer, 1992; Zeileis, 2005; Zeileis and Hornik, 2007).”
Generalized M‐fluctuation tests for parameter instability (2007, methodology): “The limiting distribution is given by supt∈Π(t(1 − t))−1||W (t)||(2)2 and approximate asymptotic p values can be computed with the methods of Hansen (1997). Cramér-von Mises type test: Nyblom (1989) derives a Cramér-von Mises type test for parameter instability based on ML scores and shows that this”
A Unified Approach to Structural Change Tests Based on ML Scores, F Statistics, and OLS Residuals (2005, methodology): “Hansen (1992) suggests to compute this statistic for the full process efp(t) to test all coefficients simultaneously and also for each component of the process (efp(t))j (denoting the j th component of the process efp(t), j = 1, , k) individually to assess which parameter causes the instability.”
Explaining de Facto Judicial Independence (2007, unknown): “However, an alternative test for insample parameter constancy was developed by Hansen (1992). It tests both variance and coefficients on variables for stability and does not rely on an a priori splitting of the sample.”
The Econometrics of Macroeconomic Modelling (2005, background): “As we alluded to in the introduction, it is pointed out by Johansen (2002) that a general theory for the validity of the three steps will invariably contain criteria and conditions which are formulated for the full system The question thus is: Given that the full model is too large to be modelled si”
Bank Lending and Property Prices in Hong Kong (2005, methodology): “Parameter instability test is based on the approach in Hansen (1992), with statistics reported for variance (δ), followed by the joint statistic for all the parameters in the model, and those for each parameter.”
On Markov error‐correction models, with an application to stock prices and dividends (2004, methodology): “The tests for parameter stability we consider are based on the following statistics: (a) Nyblom’s (1989) L statistic (modified as in Hansen (1992a) to achieve robustness with respect to heteroskedasticity), which provides a locally most powerful test for the null hypothesis of parameter stability…”
Natural Gas Consumption and Economic Growth: The Role of Foreign Direct Investment, Capital Formation and Trade Openness in Malaysia (2015, methodology): “Starting with the first strand of literature, the studies that have applied the 1 RM is Malaysian ringgit and the average exchange rate is RM3 to a dollar cointegration techniques to examine the relationship between natural gas and economic growth include Lee and Chang [21], who used Johansen [22], ”
Just How Undervalued is the Chinese Renminbi (2005, unknown): “As possible breakpoints appeared in the regression analysis, we perform Hansen’s (1992a) Lagrangemultiplier-type tests to check for possible parameter instability.”