Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5059392 | Economics Letters | 2014 | 4 Pages |
Abstract
By means of an extensive Monte Carlo simulation study based on the design of Chen and Hong (2012) we compare the performance of the tests they proposed for parameter stability with the linearity test of Li et al. (2002) and the functional form test of Li and Wang (1998). We find that the test of Li et al. (2002) test adapted to testing for parameter stability performs favorably well in terms of size and equally well in terms of power compared with the others, whereas the test by Li and Wang has no power.
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Authors
Serda Selin Ãztürk, Thanasis Stengos,