Testing Parameter Instability in the Linear Model with Non-stationary Regressors
نویسندگان
چکیده
This paper extends the distributional theory for the problem of testing for structural change in the linear model when the timing of the change is unknown, and proposes a simple method of obtaining approximate critical values for the mean-Wald test. The results apply for a very wide range of regressor types, including integrated and trending regressors, and regressors that exhibit their own structural break. The proposed modification to the mean-Wald statistic thus provides a simple means of performing the test in a wide class of models. JEL classification: C12, C22, C52
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