Testing for the Constancy of Parameters Over Time

Nyblom, Jukka

doi:10.2307/2289867

Cited by 281 publications

(243 citation statements)

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“…normal. Nyblom [14] also shows that the statistic is an approximate LM statistic even if v u is nonnormal and u, is a martingale difference sequence. 2 KPSS use the components model y, = a + 8t + X t , X t = y, + v,, y, = 7 ,_, + u,,…”

Section: R-3/2 Ez ( -> F B 2 T~2tz T Z' T^ F B 2 B' 2 T-5/2 Ztzmentioning

confidence: 96%

A Residual-Based Test of the Null of Cointegration Against the Alternative of No Cointegration

1994

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This paper proposes a residual-based test of the null of cointegration using a structural single equation model. It is shown that the limiting distribution of the test statistic for cointegration can be made free of nuisance parameters when the cointegrating relation is efficiently estimated. The limiting distributions are given in terms of a mixture of a Brownian bridge and vector Brownian motion. It is also shown that this test is consistent. Critical values are given for standard, demeaned, and detrended cases. Combining results from our test for cointegration with results from the Phillips-Ouliaris test for no cointegration, we find that there is evidence of cointegration between real consumption and real disposable income over the postwar period. I wish to thank Professors

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Section: R-3/2 Ez ( -> F B 2 T~2tz T Z' T^ F B 2 B' 2 T-5/2 Ztzmentioning

confidence: 96%

A Residual-Based Test of the Null of Cointegration Against the Alternative of No Cointegration

1994

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“…Our results suggest that only the model for Singapore is unstable at the 10 percent level though not at the 5 percent level. Tests suggested by Nyblom (1989) and Hansen (1992) also find instability in Singapore at the ten percent level. To examine the forecasting ability of the error-correction models, we split our data into estimation and forecast periods.…”

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confidence: 89%

Foreign Exchange Reserves in Asia and Its Impact on Import Demand

Arize¹,

Malindretos²

2012

IJEF

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Some Asian countries have experienced increases in the level of their foreign exchange reserves as well as increases in their import volume. Theory suggests that as the level of exchange reserves increases, it may affect the demand for imports since more funds will be available for imports. In this paper, we employ quarterly data of five Asian countries and test the null hypothesis that the import demand behavior in India, Japan, Korea, Singapore and Thailand are not determined by real income, relative import price and foreign exchange reserves. The empirical analysis of import demand behavior is presented using the dynamic error-correction model, which allows an explicit parameterized division of effects into long-run influences, short-term adjustment and error-correction term. It uses econometric techniques organized around Johansen, Harris-Inder, and Hansen Lccointegration analyses; fully modified OLS, dynamic OLS and ARDL to estimate long-and-short run demand elasticities.

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“…The model can be computationally intensive, especially when it contains many time-varying terms. We did not implement a formal test to decide if a covariate enters the model as a static or a dynamic variable, for example along the lines of Nyblom [29].…”

Section: Discussionmentioning

confidence: 99%

Examining secular trends and seasonality in count data using dynamic generalized linear modelling: a new methodological approach illustrated with hospital discharge data on myocardial infarction

et al. 2009

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Time series of incidence counts often show secular trends and seasonal patterns. We present a model for incidence counts capable of handling a possible gradual change in growth rates and seasonal patterns, serial correlation, and overdispersion. The model resembles an ordinary time series regression model for Poisson counts. It differs in allowing the regression coefficients to vary gradually over time in a random fashion. During the 1983-1999 period, 17,989 incidents of acute myocardial infarction were recorded in the Hospital Discharge Registry for the county of North Jutland, Denmark. Records were updated daily. A dynamic model with a seasonal pattern and an approximately linear trend was fitted to the data, and diagnostic plots indicated a good model fit. The analysis conducted with the dynamic model revealed peaks coinciding with above-average influenza A activity. On average the dynamic model estimated a higher peak-to-trough ratio than traditional models, and showed gradual changes in seasonal patterns. Analyses conducted with this model provide insights not available from more traditional approaches.

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Testing for the Constancy of Parameters Over Time

Cited by 281 publications

References 0 publications

A Residual-Based Test of the Null of Cointegration Against the Alternative of No Cointegration

A Residual-Based Test of the Null of Cointegration Against the Alternative of No Cointegration

Foreign Exchange Reserves in Asia and Its Impact on Import Demand

Examining secular trends and seasonality in count data using dynamic generalized linear modelling: a new methodological approach illustrated with hospital discharge data on myocardial infarction

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