| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5061971 | Economics Letters | 2008 | 4 Pages |
Abstract
This paper provides a local asymptotic analysis to show that the tests of partial parameter stability in cointegrating regressions, such as Quintos and Phillips [Quintos, C.E., Phillips, P.C.B., 1993. Parameter constancy in cointegrating regressions, Empirical Economics 18, 675-703] and Kuo [Kuo, B.S., 1998. Test for partial parameter instability in regressions with I(1) processes, Journal of Econometrics 86, 337-368], are not pivotal as long as there are changes in parameters not being tested.
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Authors
Chih-Chiang Hsu,