Testing for Parameter Constancy Using Chebyshev Time Polynomials
نویسنده
چکیده
We propose a simple method of testing for parameter constancy in regression models that allow for coe¢ cients that vary smoothly over time. The model is related to Bierens and Martins (2009) but in our case we consider stationary processes. The procedure is shown to have good statistical properties. We revisited Hansens (2001) study of structural breaks in a AR(1) model of labor productivity in the U.S. manufacturing/durables sector and found evidence of time-varying autoregressive parameter. Keywords: Parameter Constancy, Chebyshev Time Polynomials, Linear Regression. J.E.L. Classi cation: C22. UNIDE and Department of Quantitative Methods, ISCTE Business School, Av. das Forças Armadas, 1649-026 Lisbon, Portugal. E-mail: [email protected]. Financial support under grant PTDC/ECO/68367/2006 from the Fundação para a Ciência e Tecnologia is gratefully acknowledged.
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