A general test for time dependence in parameters

By R. Becker, W. Enders, S. Hurn. 2004

257 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/cad1f6d3b0a3edbec0703db207c00e398572988b

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Citations in the corpus

International Output Convergence, Breaks, and Asymmetric Adjustment (2011, methodology): “Following Becker et al. (2004) and Becker et al (2006) we use a Fourier series expansion to approximate the unknown number of breaks of unknown form ( ) t  as”
A Simple Panel Unit‐Root Test with Smooth Breaks in the Presence of a Multifactor Error Structure (2016, unknown): “Proof of Lemmas (L1) and (L2) are given in Becker et al. (2006, p.387), (L3) and (L4) are given in Hamilton (1994, p.176), (L5)-(L8) are given in Enders and Lee (2012a, p.594). (L11) is given in Pesaran et al. (2013, p.106). To prove (L9), we follow Enders and Lee (2012a) to use the results in Biere”
A Stationarity Test in the Presence of an Unknown Number of Smooth Breaks (2006, methodology): “Becker et al. (2004) use this property of eqn (2) to develop a test that can have more power to detect breaks of an unknown form than the standard Bai and Perron (1998) test.”
Grain prices, oil prices, and multiple smooth breaks in a VAR (2016, methodology): “ = 0 + 1−1 +  +  (6) where 0 = ( − 1)0.”
The flexible Fourier form and Dickey–Fuller type unit root tests (2012, background): “They follow Becker, Enders, and Hurn (2004) and Becker, Enders and Lee (2006) and illustrate that the essential characteristics of a series with one or more structural breaks can often be captured using a small number of low frequency components from a Fourier approximation.”