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Volumn 19, Issue 7, 2004, Pages 899-906

A general test for time dependence in parameters

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EID: 10244232950     PISSN: 08837252     EISSN: None     Source Type: Journal    
DOI: 10.1002/jae.751     Document Type: Article
Times cited : (177)

References (12)
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    • Andrews, D.W.K.1    Ploberger, W.2
  • 3
    • 0346906789 scopus 로고    scopus 로고
    • Estimating and testing linear models with multiple structural changes
    • Bai J, Perron P. 1998. Estimating and testing linear models with multiple structural changes. Econometrica 66: 47-78.
    • (1998) Econometrica , vol.66 , pp. 47-78
    • Bai, J.1    Perron, P.2
  • 4
    • 0037286212 scopus 로고    scopus 로고
    • Computation and analysis of multiple structural change models
    • Bai J, Perron P. 2003. Computation and analysis of multiple structural change models. Journal of Applied Econometrics 18: 1-22.
    • (2003) Journal of Applied Econometrics , vol.18 , pp. 1-22
    • Bai, J.1    Perron, P.2
  • 6
    • 24944532669 scopus 로고
    • Hypothesis testing when a nuisance parameter is only identified under the alternative
    • Davies RB. 1987. Hypothesis testing when a nuisance parameter is only identified under the alternative. Biometrika 47: 33-43.
    • (1987) Biometrika , vol.47 , pp. 33-43
    • Davies, R.B.1
  • 8
    • 43949168783 scopus 로고
    • Testing for neglected nonlinearity in time series models: A comparison of neural network methods and alternative tests
    • Lee T, White H, Granger CWJ. 1993. Testing for neglected nonlinearity in time series models: a comparison of neural network methods and alternative tests. Journal of Econometrics 56: 269-290.
    • (1993) Journal of Econometrics , vol.56 , pp. 269-290
    • Lee, T.1    White, H.2    Granger, C.W.J.3
  • 9
    • 0009400391 scopus 로고    scopus 로고
    • Estimating non-linear ARMA models using Fourier coefficients
    • Ludlow J, Enders W. 2000. Estimating non-linear ARMA models using Fourier coefficients. International Journal of Forecasting 16: 333-347.
    • (2000) International Journal of Forecasting , vol.16 , pp. 333-347
    • Ludlow, J.1    Enders, W.2
  • 11
    • 0032343771 scopus 로고    scopus 로고
    • Consistent specification testing with nuisance parameters present only under the alternative
    • Stinchcombe MB, White H. 1998. Consistent specification testing with nuisance parameters present only under the alternative. Econometric Theory 14: 295-325.
    • (1998) Econometric Theory , vol.14 , pp. 295-325
    • Stinchcombe, M.B.1    White, H.2
  • 12
    • 0001106417 scopus 로고
    • Testing for regression coefficient stability with a stationary AR(1) alternative
    • Watson M, Engle RF. 1985. Testing for regression coefficient stability with a stationary AR(1) alternative. Review of Economics and Statistics 67(2): 341-346.
    • (1985) Review of Economics and Statistics , vol.67 , Issue.2 , pp. 341-346
    • Watson, M.1    Engle, R.F.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.