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A general test for time dependence in parameters

✍ Scribed by Ralf Becker; Walter Enders; Stan Hurn

Publisher
John Wiley and Sons
Year
2004
Tongue
English
Weight
121 KB
Volume
19
Category
Article
ISSN
0883-7252

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✦ Synopsis

Abstract

A new test for time‐dependent parameters is proposed. The Trig‐test is based on a trigonometric expansion to approximate the unknown functional form of the variation in the parameters concerned. It is shown to have the correct empirical size and excellent power to detect structural breaks and stochastic parameter variation. The appropriate use of the Trig‐test is demonstrated by testing for structural breaks in the US inflation rate. The test detects a statistically significant increase in the US inflation rate beginning in the early 1970s and lasting through to the early 1980s. Copyright Β© 2004 John Wiley & Sons, Ltd.

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