Tests for Parameter Instability in Regressions with I(1) Processes

1 July 1992

journal article
Published by JSTOR in Journal of Business & Economic Statistics

Vol. 10 (3) , 321
https://doi.org/10.2307/1391545

Abstract

This article derives the large-sample distributions of Lagrange multiplier (LM) tests for parameter instability against several alternatives of interest in the ...

Keywords

LAGRANGE MULTIPLIER
INTEREST
PARAMETER INSTABILITY
LARGE SAMPLE
SAMPLE DISTRIBUTIONS
ARTICLE DERIVES

This publication has 0 references indexed in Scilit: