Documentos de Académico
Documentos de Profesional
Documentos de Cultura
DIVISION ECONOMICA
DEPARTAMENTO DE INVESTIGACIONES ECONOMICAS
DIE-NT-01-96
Elaborado por:
Rigoberto Araya Monge
Autorizado por:
Hermgenes Arguedas Troyo
ENERO 1996
DIE-NT-01-96
Pgina 2
I.INTRODUCCION
Un detalle pormenorizado de varias pruebas existentes se brinda en la nota tcnica: " Ajustes de regresin por mnimos
cuadrados ordinarios: Pruebas estadsticas de estabilidad y homocedasticidad ", elaborado por la Licda. Ana Georgina
Azofeifa Villalobos.
DIE-NT-01-96
Pgina 3
II.
NOTACION MATEMATICA
DIE-NT-01-96
Pgina 4
-1
2
= (1 + x t ( X t -1 Xt-1 ) x t )
y t - x t bt-1
wt =
Conceptualmente
interpreta como:
1 +x ( X t -1Xt-1) x t
-1
la
ecuacin
de
residuos
recursivos
wt = Error de pronstico
{ Variancia del error de pronstico } (1/2)
se
(3)
---->
N ( 0 ,2I)
(4)
DIE-NT-01-96
Pgina 5
Para
ilustrar
la
utilizacin
de
estas
pruebas
de
estabilidad
se presentan dos ejemplos en el primero se
emplean
las importaciones totales de Costa Rica como variable
dependiente y de argumentos
la
produccin
real,
los
precios relativos (precios de importacin en colones/precios
al por mayor) e
ITCER, en el segundo ejemplo se utiliza el
producto interno bruto trimestral en constantes en funcin de
la riqueza financiera amplia real. Como instrumento de clculo
se emplea
el paquete Time Series Processor (TSP), el cual
ofrece seis variantes en los tests correspondientes.
A)
Importaciones Totales
B)
Funcin
del
producto
financiera amplia real
interno
bruto
riqueza
DIE-NT-01-96
Pgina 6
C)
1)
RESIDUOS RECURSIVOS-TEST(R).
TEST CUSUM-TEST(Q).
TEST CUSUM OF CUADRADOS-TEST(V).
PRUEBA F a UN PASO DE PRONOSTICO. Test-TEST(O).
PRUEBA F a N PASOS DE PRONOSTICO-TEST(N).
ESTIMACIONES
DE
COEFICIENTES
RECURSIVOS.
TEST(C).
RESIDUOS RECURSIVOS-TEST(R).
DIE-NT-01-96
2)
Pgina 7
W t = tk +1 w i / s
(5)
t= k+1,.......n
3)
TEST CUSUM OF
CUADRADOS-TEST (V).
st = t k +1 w 2i / n k +1 w 2i
(6)
t= k+1,.........n
La lnea de valor medio que ofrece el valor esperado de
esta prueba bajo la hiptesis de constancia de parmetros es:
DIE-NT-01-96
Pgina 8
E( St ) = (t - k) / (k - n)
(7)
DIE-NT-01-96
Pgina 9
la
cima
y,
como
en
el
TEST(O),
las
probabilidades
significativas en la parte inferior del diagrama.
6)
IV.
"Un anlisis economtrico de la demanda por importaciones desagregadas en Chile : 1960-1992". Cuadernos de economa, Ao
31, No. 93, pp. 251-301.
DIE-NT-01-96
Pgina 10
(8)
Donde:
LPIBK=
LPR=
DIE-NT-01-96
ITCER=
Pgina 11
Indice de tipo efectivo real segn clculo del
F.M.I.
V.
RESULTADOS OBTENIDOS
A.
Importaciones
El
clculo
resultados:
correspondiente
muestra
los
siguientes
DW = 0.38
F= 94.0
n= 29
(9)
DIE-NT-01-96
Pgina 12
2)
3)
bruscos.
Las
pruebas
correspondientes
realizadas
a
los
coeficientes de regresin de las variables PIBK, PR, ITCER y
constante muestran que en ningn caso se cumplen las
condiciones mencionadas.
Unicamente en el coeficiente de la
DIE-NT-01-96
Pgina 13
B.
C.
Ese resultado se obtuvo con el paquete TIME SERIES PROCESSOR ( TSP ). Igual producto se logr con el paquete SHAZAM en el
que se realiz la prueba de estabilidad de CHOW.
DIE-NT-01-96
Pgina 14
2)
Los
estimadores
de
las
variancias
de
los
coeficientes
resultan
sesgados,
situacin
que
invalida las pruebas de significancia y los lmites
de confianza calculados para esos conceptos.
3)
Maddala, G.S.
DIE-NT-01-96
Pgina 15
VI.
CONCLUSIONES
Las
principales
conclusiones
de
lo
investigado
y
practicado respecto a las pruebas de estabilidad conocidas
como CUSUM y CUSUMSQ son las siguientes:
A)
Son
unas
comprobaciones
aceptacin entre los investigadores.
que
tienen
bastante
B)
Al mostrar en forma grfica el comportamiento de la
funcin en cuanto a estabilidad se refiere, utilizando para
ello
la lnea de residuos recursivos y las bandas crticas
(lmites de confianza) y el tiempo, resulta particularmente
til para mejorar la especificacin del modelo o para
comprobar
si
funciona
adecuadamente
como
una
funcin
explicativa y detecta, como se esperaba en las importaciones,
los perodos de crisis o cambio estructural. Hay que recordar
que los grficos presentan no slo los conceptos de inters
sino tambin el tiempo con lo cual el investigador se ubica
rpidamente en los
perodos problemticos y ahonda en la
explicacin de las posibles causas de esa conducta.
Son las trece comprobaciones brindadas por el paquete SHAZAM. Entre ellas estn: Glejser test, Harvey test, Ramsey Reset
Specification Tests, Goldfeld-Quandt, etc.
Opinin brindada por el Lic. Otto Kikut C. al interrogarle de por qu los paquetes economtricos no calculaban CUSUM y
CUSUMSQ y editaban una nota que deca que esos tests no eran vlidos.
DIE-NT-01-96
Pgina 16
C)
Al analizar los resultados no debe perderse vista
que de acuerdo con las pruebas corridas no existe problemas de
heterocedasticidad, pero si lo hay de autocorrelacin.
Como
no se pueden realizar las pruebas de residuos recursivos para
transformaciones de autocorrelacin entonces se toman los
resultados obtenidos en mnimos cuadrados ordinarios con las
limitaciones correspondientes.
D)
Las comprobaciones hechas del modelo
del producto
interno bruto real trimestral utilizando las pruebas de
estabilidad de CHOW y de residuos recursivos
permite
concluir, que en trminos generales, esos
resultados
coinciden.
E)
El uso generalizado que se le da a estas pruebas es
la deteccin de la estabilidad o no de los coeficientes y del
modelo. Sin embargo, el buscar slo la estabilidad puede
implicar algunos hechos como los siguientes:
1)
2)
F)
Un empleo un tanto diferente es el realizado con el
ejemplo de importaciones totales presentado en este trabajo,
en el cual a priori se escogieron: un modelo terico ya
probado en otras latitudes (Chile), un lapso de tiempo extenso
(1966 a 1994) que incluye aos de crisis y una variable que
tericamente es muy susceptible e inestable en perodos
crticos.
El resultado fue el esperado esto es:
la funcin y los
coeficientes de regresin mostraron su inestabilidad en los
aos de crisis, e incluso en perodos anuales recientes los
residuos recursivos reflejaron mucho dinamismo coincidiendo
con perodos en que las compras externas crecieron mucho. Al
punto que en este ltimo caso la lnea de CUSUM y CUSUMSQ
tendi a alcanzar continuamente la banda crtica superior de
los tests respectivos. En otras palabras, el modelo de
importaciones probado resulta sensible, segn las pruebas bajo
anlisis, a cambios fuertes en la economa costarricense. Eso
DIE-NT-01-96
Pgina 17
ANEXO BIBLIOGRAFICO
DIE-NT-01-96
Pgina 20
BIBLIOGRAFIA
C., Otto.
(Enero 1992).
"Apuntes sobre temas de
econometra,
regresin
lineal
y
mltiple,
diagnstico amplio". Consejo Monetario Centroamericano.
Secretaria Ejecutiva.
Versin 7.0.
Apuntes
de
clase
de
"Tpicos
de
OTRAS REFERENCIAS
DIE-NT-01-96
Pgina 22
OBSERVACION GENERAL:
Authors:
Journal:
Reprint:
Subjects:
Codes:
00452431
ProQuest
ABI/INFORM (R) Global
Edition
Testing for Structural Change in Panel Data:
Application to a Study of U.S. Foreign Trade in
Manufacturing Goods
Han, Aaron K; Park, Daekeun
Review of Economics & Statistics [RES]
ISSN:
0034-6535
Vol: 71 Iss: 1 Date: Feb 1989 p: 135-142
Illus: Graphs; Equations; References
Contact UMI for article reprint (order no.
42229.00).
Restrictions may apply.
Regression
analysis;
Economic
theory;
International
trade;
Mathematical
models;
Manufacturing
9120 (Product specific); 9180 (International);
1300 (International trade & foreign investment);
1130 (Economic theory)
Abstract:
A multivariate cusum test, along with extensions
for partitioned parameters, serial correlation, and error
components, is formulated for panel data analysis.
The
multivariate version of the cusum is a direct extension of the
univariate case given by Brown, Durbin, and Evans (1975).
Having obtained a multivariate test, an unconditional cusum
test is then formulated for the partitioned
regression
parameters.
This extension is to test for the constancy of a
subset of
the
coefficients
without
imposing a similar
assumption on the other coefficients.
The tests are applied
to a study of US foreign trade in manufacturing goods during
DIE-NT-01-96
Pgina 23
1958-1976.
The findings are: 1.
The evidence of changes
found by previous studies may have been accentuated by the
presence of spurious shocks.
2.
Although changes in the
parameters of human capital seemed more severe than those of
labor and physical capital, the direction of changes was
nowhere certain over the period studied.
Revista disponible en la Biblioteca del BCCR,
solicite informacion en la Hemeroteca.
Access No:
00355310
ProQuest
ABI/INFORM (R) Global
Edition
Title:
On Tests for Non-Linearity in Time Series
Analysis
Authors:
Chan, Wai-Sum; Tong, Howell
Journal:
Journal of Forecasting [JOF] ISSN: 0277-6693
Vol: 5 Iss: 4 Date: Oct-Dec 1986 p: 217-228
Illus: Equations; References
Reprint:
Contact UMI for article reprint (order no.
12921.00).
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Subjects:
Time series; Analysis; Comparative studies;
Forecasting; Mathematical models; Monte Carlo
simulation
Codes:
2600 (Management science/operations research);
9130 (Experimental/theoretical)
Abstract:
A new test is developed for nonlinearity in time
series data in discrete time. A comparative study is made of:
1.
Subba Rao and Gabr's (1980) frequency-domain approach, 2.
Hinich's (1982) contribution to Subba Rao and Gabr's test
statistic, 3.
Keenan's (1985) time-domain approach, 4.
Petruccelli and Davies' (1986) approach based on cumulative
sums (CUSUM), and 5. the new test.
Both simulated and real
data are used.
The study suggests that Hinich's modification
of Subba Rao and Gabr's frequency-domain test improves its
efficacy and may be used in conjunction with time-domain
tests, such as Keenan's test, the CUSUM test, or the new test.
However, the evidence also indicates that Subba Rao, Gabr,
and Hinich's test does not have adequate power in many cases.
The time-domain tests complement each other well, with the
new test
enjoying marginally better results provided that
central processing unit time is not a serious consideration.
Revista disponible en la Biblioteca del BCCR,
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DIE-NT-01-96
Pgina 24
Access No:
00475373
ProQuest
ABI/INFORM (R) Global
Edition Title:
Using Daily Stock Returns in
Event Studies and the Choice of Parametric
Versus Nonparametric Test Statistics
Authors:
Berry,
Michael
A;
Gallinger,
George
W;
Henderson, Glenn V., Jr
Quarterly Journal of Business & Economics [NBJ]
ISSN: 0747-5535
Vol: 29
Iss: 1
Date: Winter 1990
p: 70-85
Illus: References
Contact UMI for article reprint (order no.
2685.01)
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Stock prices; Portfolio performance; Efficient
markets; Security prices; Securities markets;
Securities
analysis;
Studies;
Statistical
analysis
3400
(Investment
analysis);
9130
(Experimental/theoretical)
Journal:
Reprint:
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Abstract:
Event studies that use residual analysis have
problems with using daily return data.
The analysis shows
that daily returns are generally not normal, while first-order
serial correlation in returns is minimal.
Significant
heteroscedasticity is found, as are significant skewness and
kurtosis in the daily return series.
Although daily data
create problems in ordinary least squares regressions, the
residuals
for
such
regressions
are
surprisingly
wellconditioned for statistical testing.
The residual series
shows
no
problems
with
either
serial
correlation
or
heteroscedasticity.
A more powerful normality test indicates
that the residuals are not significantly nonnormal.
Power
statistics were derived for the Student t, the Wilcoxon signed
rank, and the sign statistics at 5 abnormal performance
levels.
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00426946 ProQuest ABI/INFORM (R) Global Edition
A
Generalized
Error
Component
Model
with
Heteroscedastic Disturbances
Baltagi, Badi H; Griffin, James M
International Economic Review [IEC] ISSN: 00206598
Vol: 29 Iss: 4 Date: Nov 1988 p: 745-753
Illus: Equations; References
Contact UMI for article reprint (order no.
11377.00).
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Econometrics; Regression analysis; Standard;
Errors; Mathematical models
1130
(Economic
theory);
9130
(Experimental/theoretical)
Abstract:
A generalized, one-way, error component model is
constructed, which allows for heteroscedasticity, yet still
maintains the simple structure of an error components model.
Two
feasible
generalized
least
squares
estimators
are
proposed.
The first uses an iterative procedure based on
ordinary least squares and within residuals. The 2nd extends
the minimum norm quadratic unbiased estimator procedure to the
heteroscedasticity case. Both estimates rely on an application
of least squares to the transformed variables.
An empirical
example supports the proposed estimators. Homoscedasticity is
rejected, justifying the concern with heteroscedasticity.
In
addition, the reductions in standard errors from the 2
generalized error components estimators when compared to the
within estimator appear empirically substantial. The presence
of frequent negative variances suggests that these procedures
do not uniformly give precise estimates of the key variance
components parameters.
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00320485 ProQuest ABI/INFORM (R) Global Edition
A Monte Carlo Evaluation of the Power of Some
Tests for Heteroscedasticity
Griffiths, W. E; Surekha, K
Journal of Econometrics [JRE] ISSN: 0304-4076
Vol: 31 Iss: 2 Date: Mar 1986 p: 219-231
Illus: Graphs; Equations; References
Contact UMI for article reprint (order no.
42223.00).
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Econometrics; Tests; Monte Carlo simulation;
Experiments; Procedures
1130
(Economic
theory);
9130
(Experimental/theoretical)
Abstract:
A
computationally
simple
asymptotic
test
proposed by Szroeter (1978) is evaluated.
This test,
originally designed for structural and reduced form relations
in dynamic simultaneous equation models, can also be employed
to test for heteroscedasticity in linear regression models.
Szroeter's test is compared with 3 others: the Goldfeld-Quandt
test (1965), the Breusch-Pagan test (1979), and BAMSET
(Ramsey, 1969), Monte Carlo methods are employed to examine
the
4
tests
for
2
different
heteroscedastic
variance
structures.
When it is possible to order the observations
according to increasing variances, Szroeter's test is found to
be more powerful than the other 3. When the observations are
not ordered, the performances of Szroeter's test, BAMSET, and
the Goldfeld-Quandt test all drop dramatically. The BreuschPagan test does not depend on whether or not the observations
are ordered, but it does depend on similarly strong prior
information.
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Pgina 27
00700596
ProQuest
ABI/INFORM (R) Global
Edition
Structural change in import demand behavior: The
Korean experience
Mah, Jai Sheen
Journal of Policy Modeling [JMO]
ISSN: 01618938
Vol: 15
Iss: 2
Date: Apr 1993
p: 223-227
Illus: Charts; Equations; References
Contact UMI for article reprint (order no.
42189.00).
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Economic
structure;
Trade
policy;
Import
restriction; Impacts; Demand; Price elasticity;
Studies Geo Places: Republic of Korea
1130 (Economic theory); 9178 (Middle East); 1300
(International trade & foreign investment); 9130
(Experimental/theoretical)
Abstract:
Using the elasticity approach, the import demand
equation for Korea was estimated with quarterly data over the
period 1971-1988.
The cusum test and cusum of squares test
showed evidence of one, and perhaps 2, structural breaks. The
econometric evidence of structural break in the import demand
reflects the import liberalization measures of the early
1980s. With the recognition of the structural break, the new
estimation results based on data after the break show that
income and the price elasticities have become more responsive
over time. Diagnostic tests show that the regression results
are approximately uncorrelated, normally distributed, and
homoscedastic.
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00638325
ProQuest
ABI/INFORM (R) Global
Edition
Stationarity Tests of the Market Model for
Security
Returns
Barone-Adesi, Giovanni; Talwar, Prem P
Journal of Accounting, Auditing & Finance [JAA]
ISSN: 0148-558X
Vol: 7 Iss: 3 Date: Summer 1992 p: 369-378
Illus: Charts; Appendix; Equations; References
Contact UMI for article reprint (order no.
11465.00).
Restrictions may apply.
Securities
markets;
Mathematical
models;
Studies; Statistical analysis; Rates of return
US
9130
(Experimental/theoretical);
3400
(Investment analysis); 9190 (United States)
Abstract:
The stationarity of the market model is an
important issue in finance because it allows investors to
infer the model parameters from historical data.
A common
assumption of some studies is that the intercept of the market
model is constant. Researchers have used the cusum-of-squares
test to test simultaneously the stationarity of the slope and
the intercept of the market mode.
The cusum-of-squares test
rejects stationarity for a large number of securities.
The
effects of nonnormality and heteroscedasticity on the cusumof-squares tests for stationarity are examined by comparing
the cusum-of-squares test to the Farley-Hinich test.
The
cusum-of-squares test is found to reject the stationarity
hypothesis much more often than the Farley-Hinich test. This
result appears to be due to inconsistencies in the cusum-ofsquares test.
Moreover, some simulation evidence suggests
that
the
cusum-of-squares
test
may
overstate
the
nonstationarity of the parameters of the market model.
DIE-NT-01-96
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Pgina 29
00625660 ProQuest ABI/INFORM (R) Global Edition
The CUSUM Test with OLS Residuals
Ploberger, Werner; Kramer, Walter
Econometrica [MET] ISSN: 0012-9682
Vol: 60 Iss: 2 Date: Mar 1992 p: 271-285
Illus: Charts; Appendix; Equations; References
Contact UMI for article reprint (order no.
12434.00).
Restrictions may apply.
Econometrics;
Regression
analysis;
Tests;
Studies;
Economic
models;
Economic
theory;
Statistics
1130
(Economic
theory);
9130
(Experimental/theoretical)
Abstract:
It is shown that the CUSUM test of the stability
over time of the coefficients of a linear regression model,
which is usually based on recursive residuals, can also be
applied to ordinary least squares (OLS) residuals.
The
limiting null distribution of the resulting test is derived,
and its local power is compared to that of the standard
procedure.
It turns out that neither version is uniformly
superior to the other.
Revista disponible en la Biblioteca del BCCR,
solicite informacin en la Hemeroteca.
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00598861
ProQuest
ABI/INFORM (R) Global
Edition
Linear Regression Under Two Separate Regimes: An
Empirical
Distribution
for
Quandt's
Log
Likelihood Ratio
Deutsch, Joseph
Applied Economics [APE] ISSN: 0003-6846
Vol: 24 Iss: 1 Date: Jan 1992 p: 123-127
Illus: Charts; Graphs; Equations; References
Contact UMI for article reprint (order no.
14398.00).
Restrictions may apply.
Economic models; Economic theory; Regression
analysis; Comparative studies; Statistics; Mean;
Methods; Effectiveness
1130 (Economic theory); 9130
(Experimental/theoretical)
Abstract:
In the empirical analysis of structural changes,
Quandt's (1958) test for detecting a single change in a
regression relationship at an unknown point of time is
frequently applied.
A limitation regarding the applicability
of the method is that the distribution of the Quandt's log
likelihood ratio is unknown.
An empirical distribution for
Quandt's statistic is derived that enables the researcher to
approximate the level of significance when testing the
stability of regression relationships over time.
The
empirical distribution is based on a large number of random
samples drawn from a normal population and built under the
null hypothesis that no switch occurred.
The power of the
test is also examined by Monte Carlo experiments and compared
to that of the cusum and the cusum square tests. The results
show that the power of Quandt's test is less affected by the
switching point than the cusum and the cusum square tests and
is significantly higher than for most of the switching points
assumed.
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00839877
ProQuest
ABI/INFORM (R) Global
Edition
Evidence
of
heteroscedasticity
and
misspecification
issues
in
the
market
model:
Results from the Athens Stock Exchange
Karathanassis, G; Patsos, C
Applied Economics [APE] ISSN: 0003-6846
Vol: 25 Iss: 11 Date: Nov 1993 p: 1423-1438
Illus: Charts; Graphs; Appendix; Equations;
References
Contact UMI for article reprint (order no.
14398.00).
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Athens Stock Exchange
Economic models; Stock exchanges; Estimating
techniques;
Economic
impact;
Test
methods;
Comparative studies; Statistical analysis
Greece
9130 (Experimental/theoretical); 1130 (Economic
theory); 9175 (Western Europe); 8130 (Investment
services)
Abstract:
The
traditional
tests
and
the
relevant
explanations given by researchers on the basis of their
empirical results, in cases where there is evidence of
heteroscedasticity and surrounding mis-specification issues in
the market model, are investigated and criticized.
To this
purpose, data from the Athens Stock Exchange are used. To get
meaningful
comparisons
and
results,
the
classical
heteroscedasticity
and
mis-specification
tests
used
by
researchers are applied, and the results, also under a
classical view, are analyzed. More recent and efficient tests
are then applied to find out contradictions and disproportions
between the former and the latter tests, as well as to draw
comments
and
conclusions
supplementary
to
the
existing
evidence and to propose other appropriate ways for estimation
and specification of the market model.
It appears, as a
general conclusion, that significant distortions are observed
in the traditional market model when it is used in small but
considerably emerging stock markets.
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Pgina 32
00685406 ProQuest ABI/INFORM (R) Global Edition
Temporary
components
of
stock
prices:
A
skeptic's view
Richardson, Matthew
Journal of Business & Economic Statistics [JBB]
ISSN: 0735-0015
Vol: 11 Iss: 2 Date: Apr 1993 p: 199-207
Illus: Charts; Equations; References
Contact UMI for article reprint. Restrictions
may apply.
Stock
prices;
Monte
Carlo
simulation;
Hypotheses;
Economic
models;
Statistical
analysis
1130 (Economic theory); 9130
(Experimental/theoretical);
3400
(Investment
analysis)
Abstract:
Recent empirical work has uncovered U-shaped
patterns
of
large
magnitude
in
the
serial-correlation
estimates of multiyear stock returns.
The current literature
in finance has taken this evidence to mean that a temporary
component of stock prices exists.
To reexamine the longhorizon autocorrelation evidence, the implied behavior of the
autocorrelation estimates are investigated via Monte Carlo
simulation.
It is shown that the estimates and corresponding
serial dependence patterns should be expected from random-walk
data. Evidence is documented for joint tests across different
return horizons.
Several of the tests cannot reject the null
hypothesis that stock returns follow a random walk.
This
conclusion appears valid even when the heteroscedasticity in
the data is taken into account.
Results do not seem due to
differences in power between the joint and individual test
statistics.
Also, the serial-correlation patterns among the
portfolios are those which might be expected from random-walk
data given the particular degree of correlation across assets.
DIE-NT-01-96
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00664911
ProQuest
ABI/INFORM (R) Global
Edition
Tests of independence in parametric models with
applications and illustrations
Cameron, A Colin; Trivedi, Pravin K
Journal of Business & Economic Statistics [JBB]
ISSN: 0735-0015
Vol: 11 Iss: 1 Date: Jan 1993 p: 29-43
Illus: Charts; Appendix; Equations; References
Contact UMI for article reprint. Restrictions
may apply.
Theory;
Mathematical
models;
Multiple
regression; Multivariate analysis; Independence;
Tests; Monte Carlo simulation; Applications
9130
(Experimental/theoretical);
2600
(Management science/operations research)
Abstract:
Tests are derived concerning the independence
between variables in a wide variety of discrete and continuous
bivariate and multivariate regression equations.
The tests
are conditional moment tests based on covariances between
pairs of orthonormal polynomials.
Examples include the
following: 1.
tests of serial independence against bilinear
or autoregressive conditional heteroscedasticity alternatives,
2.
tests of dependence in multivariate normal regresssion
models, and 3.
tests of dependence in count-data models.
Monte Carlo simulation based on bivariate count models is used
to evaluate the size and power properties of the proposed
tests.
A multivariate count-data model for Australian health
care utilization data is used to illustrate the tests.
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00632216 ProQuest ABI/INFORM (R) Global Edition
A Comparison of Several Exact and Approximate
Tests
for
Structural
Shift
Under
Heteroscedasticity
Thursby, Jerry G
Journal of Econometrics [JRE] ISSN: 0304-4076
Vol: 53
Iss: 1-3
Date: Jul-Sep 1992 p: 363386
Illus: Charts; Equations; References
Contact UMI for article reprint (order no.
42223.00).
Restrictions may apply.
Hypotheses;
Regression
analysis;
Economic
models; Economic theory; Binomial distribution;
Monte Carlo simulation
1130 (Economic theory); 9130
(Experimental/theoretical);
2600
(Management
science/operations research)
Abstract:
It is known that the Chow (1960) test for
equality
of
regression
coefficients
is
not
robust
to
heteroscedasticity. Much recent attention has been paid to
this problem by way of new tests.
The bulk of the new
procedures are justified only asymptotically, and little has
been done to examine finite sample properties.
Even less
attention has been focused on comparisons of tests under
either the null or alternative hypotheses. These shortcomings
are redressed, and additional tests are suggested.
The
results indicate that there are tests available with good
sampling characteristics, some of which are computationally
easy to carry out from both the standpoint of the researcher's
time and computation time.
For example, for the researcher
who insists that actual size not be greater than nominal size
and for whom computational difficulty is not important, the
choice is the Weer test. For the researcher willing to accept
an occasional model slightly greater than nominal size, the
choice is the MAC2 test.
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00597036
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Robustness of Size of Tests of Autocorrelation
and Heteroscedasticity to Nonnormality
Evans, Merran
Journal of Econometrics [JRE] ISSN: 0304-4076
Vol: 51 Iss: 1,2 Date: Jan/Feb 1992 p: 7-24
Illus: Charts; Equations; References
Contact UMI for article reprint (order no.
42223.00).
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Econometrics;
Tests;
Statistics;
Economic
models;
Economic
theory;
Studies;
Effects;
Errors;
Regression
analysis;
Correlation
analysis
1130 (Economic theory); 9130
(Experimental/theoretical)
Abstract:
The effect of assuming normality on the size of
parametric tests of the disturbance covariance matrix is
evaluated by including a wider range of tests, alternative
distributions, and regressors than in previous empirical
studies. A Monte Carlo comparison of actual and nominal sizes
of
various
tests
statistics
for
firstand
4th-order
autocorrelation and heteroscedasticity is made.
Particular
emphasis is on more recent tests, which are based on small
sample properties, rather than on an asymptotic justification.
Tests of autocorrelation appear to be quite robust, except
for extreme nonnormality, but tests for heteroscedasticity are
highly susceptible to kurtosis.
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00361251
ProQuest
ABI/INFORM (R) Global
Edition
Past Inflation Variability and the Stability of
the Demand-for-Money Function in Nigeria
Arize, Augustine Chuck
Atlantic Economic Journal [AEJ] ISSN: 0197-4254
Vol: 15 Iss: 1 Date: Mar 1987 p: 31-41
Illus: Graphs; Equations; References
Contact UMI for article reprint (order no.
14380.00).
Restrictions may apply.
Economic conditions; Inflation; Money; Demand;
Functions; Studies
Nigeria
1110 (Economic conditions & forecasts); 9130
(Experimental/theoretical); 9170 (Non-US); 9177
(Africa)
Abstract:
Four types of tests are used to determine
whether a stable demand-for-money function existed in Nigeria
over the period 1961-1962 through 1981-1982. The role of the
past variability of the inflation rate in money demand
functions is examined briefly.
The 4 formal stability tests
are: 1.
the Farley-Hinich test, in which coefficients that
are thought to be unstable are treated as linear functions of
time, 2.
a forward cusum of squares test that requires the
calculation of a one-period-ahead forecast error, 3.
a
backward
cusum
of
squares
test
that
assumes
the
rho
coefficient was constant over the sample period, and 4.
the
least squares cusum of squares test in which the ratio of the
sum of squared residuals to the total sum of squared residuals
is plotted over time. The data studied cover the period 19501951 through 1981-1982.
The results suggest that the demandfor-money function became unstable in Nigeria about 1970-1971.
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00521510 ProQuest ABI/INFORM (R) Global Edition
Some Comparisons of the Relative Power of Simple
Tests for Structural Change in Regression Models
Bleaney, Michael
Journal of Forecasting [JOF] ISSN: 0277-6693
Vol: 9 Iss: 5 Date: Oct-Dec 1990 p: 437-444
Illus: Equations; References
Contact UMI for article reprint (order no.
12921.00).
Restrictions may apply.
Forecasting
techniques;
Econometrics;
Comparative
studies;
Regression
analysis;
Statistical methods; Statistical analysis
1130 (Economic theory); 9130
(Experimental/theoretical)
Abstract:
The power of Chow, linear, predictive failure,
and cusum of squares tests to detect structural change is
compared in a 2-variable random walk model and a once-for-all
parameter shift model. In each case, the linear test has the
greatest power, followed by the Chow test.
It is suggested
that the linear test be used as the basic general test for
structural change in time-series data and that tests of
forecasting
performance
be
confined
to
the
last
few
observations.
The analysis of recursive residuals and
recursive parameter estimates should be regarded as a form of
exploratory data analysis and a tool for understanding
discrepancies with previous results rather than as a basis for
formal tests of structural change.
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00437100
ProQuest
ABI/INFORM (R) Global
Edition
A New Test for Structural Stability in the
Linear Regression Model
Ploberger, Werner; Kramer, Walter; Kontrus, Karl
Journal of Econometrics [JRE] ISSN: 0304-4076
Vol: 40 Iss: 2 Date: Feb 1989 p: 307-318
Illus: Appendix; Equations; References
Contact UMI for article reprint (order no.
42223.00).
Restrictions may apply.
Regression
analysis;
Mathematical
models;
Fluctuations; Tests
1130 (Economic theory); 9130
(Experimental/theoretical)
Abstract:
A new test is proposed for the constancy of
regression coefficients in linear models. This test does not
require that possible change points be known. The new test is
based directly on successive parameter estimates rather than
on recursive residuals. It is assumed that the regressors and
the disturbances are defined on some common probability space
and
that
the
disturbances
are
independent
of
all
contemporaneous and past regressors.
The limiting null
distribution of the test statistic is derived, which proves
that the test has nontrivial power against many local
alternatives.
The test compares favorably to both the CUSUM
and CUSUM of squares tests. Successive parameter estimates can
be useful for testing against structural change, sometimes
more so than recursive residuals.
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00350948 ProQuest ABI/INFORM (R) Global Edition
Parameter Instability in Mutual Fund Portfolios:
A Shifting Regimes Test
Bauer, Richard J., Jr; Hays, Patrick A; Upton,
David E
Quarterly Journal of Business & Economics [NBJ]
ISSN: 0160-6557
Vol: 26 Iss: 1 Date: Winter 1987 p: 50-62
Illus: Equations; References
Contact UMI for article reprint (order no.
2685.00).
Restrictions may apply.
Mutual funds; Portfolio management; Stability;
Studies; Portfolio performance; Mathematical
models; Regression analysis
3400 (Investment analysis); 9130
(Experimental/theoretical)
Abstract:
A
shifting
regimes
approach
is
used
to
investigate whether there is any significant instability in
the regression parameters of the characteristic line for
mutual fund portfolios.
The stationarity of the regression
model parameters is tested using the cumulative sum of squared
recursive
residuals
test.
The
data
consist
of
the
continuously compounded weekly holding period returns for 28
mutual funds during 101 weeks in 1973-1974. The adjusted 90day Treasury bill rate and the Standard & Poor's 500 composite
index are the proxies for the risk-free rate and the market,
respectively.
The shifting regimes approach gives results
that support the findings of Miller and Gressis (1980). Both
studies
imply
that
regression
parameters
can
exhibit
substantial instability and that this nonstationarity can be
modeled as a distinct shift between discrete regimes of
relative stationarity.
It is concluded that characteristic
regression line models can be improved if they do not assume
constant parameters over time.
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Pgina 40
00802372
ProQuest
ABI/INFORM (R) Global
Edition
Parameter instability in aggregate US import
demand functions
Zietz, Joachim; Pemberton, Donald K
Journal of International Money & Finance [JMF]
ISSN: 0261-5606
Vol: 12 Iss: 6 Date: Dec 1993 p: 654-667
Illus: Charts; Equations; References
Contact UMI for article reprint (order no.
15816.00).
Restrictions may apply.
US imports; Demand; Models; Stability; Studies;
Statistical analysis
US
9190 (United States); 1300 (International trade
& foreign investment); 1130 (Economic theory);
9130 (Experimental/theoretical)
Abstract:
Parameter stability in aggregate US import
demand functions for the time period 1972-1990 is examined.
The extent to which parameter stability is conditioned by the
choice of particular definitions of variables - including some
newly developed real effective exchange rates and alternative
definition of merchandise imports - is studied.
Significant
instability is found for 1974-1975 in all models tested. For
the 1975-1990 period, parameter stability depends on the
definition of the relative price term employed in the model.
Equations that exclude computer imports tend to have fewer
stability problems than non-oil import demand models.
The
most stable models generate the best out-of-sample forecasts.
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00804581 ProQuest ABI/INFORM (R) Global Edition
Adapting
to
instability
in
money
demand:
Forecasting money growth with a time-varying
parameter model
Cogley, Timothy
Federal Reserve Bank of San Francisco Economic
Review
[FSE] ISSN: 0363-0021
Iss: 3 Date: 1993 p: 35-41
Illus: Charts; Graphs; Equations; References
Contact UMI for article reprint (order no.
335.02).
Restrictions may apply.
Monetary theory; Money; Demand; Economic models;
Economic forecasts; Federal Reserve monetary
policy
US
9190 (United States); 1130 (Economic theory);
1120 (Economic policy & planning)
Abstract:
Conventional money demand models appear to be
unstable, and this complicates the problem of conducting
monetary policy.
One way to deal with parameter instability
is to learn how to adapt quickly when parameters shift.
A
time-varying-parameter estimator - discounted least squares
(DLS) - is applied to conventional money demand models, and
its usefulness as a forecasting tool is evaluated.
DLS may
have a useful but limited role to play in policy modeling.
During unstable subperiods, DLS works better than ordinary
least squares, and the gains can be substantial. For example,
in a standard money demand model, in which the scale variable
is GDP and the opportunity cost variable is the spread between
commercial paper rates and the own return on M2, DLS reduces
the mean square error of one-step-ahead forecasts by 60%.
However, the absolute performance of DLS estimators also
deteriorates badly over the last few years, and the models do
not deliver reliable forecasts of M2 money demand.
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00639749 ProQuest ABI/INFORM (R) Global Edition
Testing for Parameter Instability in Linear
Models
Hansen, Bruce E
Journal of Policy Modeling [JMO]
ISSN: 01618938
Vol: 14 Iss: 4 Date: Aug 1992 p: 517-533
Illus: Charts; Equations; References
Contact UMI for article reprint (order no.
42189.00).
Restrictions may apply.
Economic models; Economic theory; Stability;
Testing; Econometrics; Consumption function;
GNP; Regression analysis; Comparative studies
US
1130 (Economic theory); 9130
(Experimental/theoretical); 9190 (United States)
Abstract:
Simple tests for parameter instability are
presented and discussed.
These tests have locally optimal
power and do not require a priori knowledge of the breakpoint.
The tests only require that the model be estimated once over
the full sample.
The asymptotic distribution is nonstandard,
depending only upon the number of coefficients tested for
stability. If the test statistics are insignificant, then the
investigator can be reasonably confident that either the model
has been constant over that sample or the data are not
sufficiently informative to reject this hypothesis.
Two
empirical examples are presented to demonstrate the use of the
tests.
The first examines whether an AR(1) model for annual
US output growth rates has remained stable over 1889-1987.
The 2nd example examines the stability of an error correction
model for an aggregate life cycle model of consumption.
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Pgina 43
00628342
ProQuest
ABI/INFORM (R) Global
Edition
Tests for Parameter Instability in Regressions
with I(1) Processes
Hansen, Bruce E
Journal of Business & Economic Statistics [JBB]
ISSN: 0735-0015
Vol: 10 Iss: 3 Date: Jul 1992 p: 321-335
Illus: Charts; Graphs; Appendix; Equations;
References
Contact UMI for article reprint. Restrictions
may apply.
Time series; Economic theory; Economic models;
Statistical analysis; Interest rates; Stock
prices
9130 (Experimental/theoretical); 1130 (Economic
theory); 3400 (Investment analysis)
Abstract:
A study of testing methods derives the largesample distributions of Lagrange multiplier (LM) tests for
parameter instability against several alternatives of interest
in the context of cointegrated regression models.
The fully
modified estimator of Phillips and Hansen is extended to cover
general models with stochastic and deterministic trends. The
test statistics considered include the SupF test of Quandt, as
well as the LM tests of Nyblom and of Nabeya and Tanaka. The
asymptotic distributions depend on the nature of the regressor
processes.
The
distributions
are
different
from
the
distributions when the data are weakly dependent. The lack of
cointegration is a special case of the alternative hypothesis
considered, so the tests proposed may also be viewed as a test
of the null of cointegration against the alternative of no
cointegration.
The tests are applied to 3 data sets: an
aggregate consumption function, a present value model of stock
prices and dividends, and the term structure of interest
rates.
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00743565 ProQuest ABI/INFORM (R) Global Edition
Tests for parameter instability and structural
change with unknown change point
Andrews, Donald W K
Econometrica [MET] ISSN: 0012-9682
Vol: 61 Iss: 4 Date: Jul 1993 p: 821-856
Illus: Charts; Appendix; Equations; References
Contact UMI for article reprint (order no.
12434.00).
Restrictions may apply.
Hypotheses; Economic models; Studies; Monte
Carlo simulation; Statistical analysis
1130 (Economic theory); 9130
(Experimental/theoretical)
Abstract:
Analysis is presented of tests for parameter
instability and structural change with unknown change point.
The results apply to a wide class of parametric models that
are suitable for estimation by generalized method of moments
procedures.
The asymptotic distributions of the test
statistics considered are nonstandard because the change point
parameter only appears under the alternative hypothesis and
not under the null.
As tests of parameter instability, the
tests considered are shown to have nontrivial asymptotic local
power against all alternatives for which the parameters are
nonconstant.
As tests of one-time structural change, the
tests are shown to have some weak asymptotic local power
optimality properties for large sample size and small
significance level. The tests are found to perform quite well
in a Monte Carlo experiment.
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00628340 ProQuest ABI/INFORM (R) Global Edition
A Direct Test for Changing Trend
Chu, Chia-Shang James; White, Halbert
Journal of Business & Economic Statistics [JBB]
ISSN: 0735-0015
Vol: 10 Iss: 3 Date: Jul 1992 p: 289-299
Illus: Charts; Appendix; Equations; References
Contact UMI for article reprint. Restrictions
may apply.
Economic models; Economic theory; Monte Carlo
simulation; Macroeconomics; Statistical analysis
9130 (Experimental/theoretical); 1130 (Economic
theory)
Abstract:
A study considers tests for changing trend that
do not require prior knowledge about the location of the
changepoint.
The critical values from the asymptotic null
distribution for testing structural change in nonstationary
time series differ from those in the stationary time series
models merely by a constant of proportionality, the square
root of three.
The limiting distribution is derived from the
functional central limit theorem and the critical value from
the hitting probability of a Brownian bridge.
Using a test
sensitive to the alternative of trend stationarity with
structural breaks, the hypothesis of trend stationarity is
rejected for real gross national product (GNP), real per
capita GNP, and real wages before World War II. For velocity,
interest rates, and common stock, the evidence of trend break
is weak.
The test is not definitive for the 5 series nominal GNP, industrial production, employment, GNP deflator,
and wages - because the test outcomes of these series are
sensitive to the truncation lag.
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Pgina 46
00617750 ProQuest ABI/INFORM (R) Global Edition
Structural Change in the Demand for Money
Choi, Seungmook; Sosin, Kim
Journal of Money, Credit & Banking [JMB] ISSN:
0022-2879
Vol: 24 Iss: 2 Date: May 1992 p: 226-238
Illus: Charts; Equations; References
Contact UMI for article reprint (order no.
5753.00).
Restrictions may apply.
Money supply; Utility functions; Econometrics;
Economic theory; Statistical analysis
US
1130 (Economic theory); 9130
(Experimental/theoretical); 9190 (United States)
Abstract:
An approach to identifying and testing for
structural change in the demand for monetary assets over the
period 1967-1985 is described.
The theory of economic
aggregation is used as the basis for selecting groups of
monetary assets and constructing their appropriate Divisia
aggregates.
A unique 2-step approach is used to analyze
structural change in the utility function.
The 2-step
approach consists of a nonparametric procedure applied to test
for temporal consistency with utility maximization and to
identify the timing of structural change, followed by a
parametric procedure to investigate statistical significance
and
measure
the
impact
of
structural
change.
The
nonparametric analysis reveals structural shifts in demand for
the monetary aggregates in first-period 1976 and 3rd-period
1982.
The parametric results disclose that, for given income
level and prices, one group experienced a drop in demand over
the second period of about 6%, followed by an increase of
about 9% over the final period.
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00861681 ProQuest ABI/INFORM (R) Global
Testing the constancy of regression parameters
against continuous structural change
Lin, Chien-Fu Jeff; Terasvirta, Timo
Journal of Econometrics [JRE] ISSN: 0304-4076
Vol: 62 Iss: 2 Date: Jun 1994 p: 211-228
Illus: Charts; Graphs; Appendix; Equations;
References
Contact UMI for article reprint (order no.
42223.00).
Restrictions may apply.
Economic models; Regression analysis; Studies;
Econometrics
1130 (Economic theory); 9130
(Experimental/theoretical)
Abstract:
A standard explicit or implicit assumption
underlying many parameter constancy tests in linear models is
that there is a single structural break in the sample.
An
analysis replaces that assumption with a more general one
stating
that
the
parameters
of
the
model
may
change
continuously
over
time.
The
pattern
of
change
is
parameterized, giving rise to a set of parameter constancy
tests against a parameterized alternative.
The power
properties of the Lagrange multiplier (LM) type tests in small
samples are compared to those of other tests such as the CUSUM
and fluctuation test by simulation and are found very
satisfactory.
An application is considered.
Although the
example amply demonstrates the potential of the proposed
approach, it must be stressed that the nonlinear least squares
estimation of the alternative may often cause problems. Local
minima are likely, and good starting values are therefore an
important prerequisite to successful parameter estimation.
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00807275 ProQuest ABI/INFORM (R) Global
A Bayesian decision approach to model monitoring
and cusums
Harrison, P Jeff; Veerapen, Parma P
Journal of Forecasting [JOF] ISSN: 0277-6693
Vol: 13 Iss: 1 Date: Jan 1994 p: 29-36
Illus: Equations; References
Contact UMI for article reprint (order no.
12921.00).
Restrictions may apply.
Bayesian
analysis;
Mathematical
models;
Forecasting; Monitors
9130
(Experimental/theoretical);
2600
(Management science/operations research)
Abstract:
Cumulative sum (cusum) techniques are widely
used in quality control and model monitoring. A single-sided
cusum may be regarded essentially as a sequence of sequential
tests which, in many cases, such as those for the exponential
family, is equivalent to a sequence of sequential probability
ratio tests.
The relationship between cusums and Bayesian
decisions
is
difficult
to
establish
using
conventional
methods.
An alternative approach is proposed that not only
reveals a relation but also offers a very simple formulation
of the decision process involved in model monitoring. This is
first illustrated for a normal mean and then extended to other
important practical cases, including dynamic models.
For Vmask cusum graphs, a particular feature is the interpretation
of the distance of the V vertex from the latest plotted point
in terms of the prior precision as measured in equivalent
observations.
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00905224
ProQuest ABI/INFORM (R) Global
Critical values for the cusumsq statistic in
medium and large sized samples
Edgerton, David; Wells, Curt
Oxford Bulletin of Economics & Statistics [OXB]
ISSN: 0305-9049
Vol: 56 Iss: 3 Date: Aug 1994 p: 355-365
Illus: Charts; Graphs; Appendix; Equations;
References
Contact UMI for article reprint (order no.
13531.02).
Restrictions may apply.
Statistical analysis; Economic models; Test
methods; Algorithms
1130 (Economic theory); 9130
(Experimental/theoretical)
Abstract:
The cusumsq statistic has become a popular test
of parameter stability since its introduction in 1975.
The
usefulness of the test depends not only on its relative
simplicity but also on the emphasis by the original authors on
a graphical presentation that in favorable circumstances can
lead to very plausible interpretations.
There are, however,
some practical difficulties associated with the test.
Its
usefulness in medium-sized samples has been hampered by the
lack of available confidence bounds.
An analysis extends
Durbin's (1969) tables to encompass all practical sample
sizes.
It should be noted that the asymptotic approximation
the analysis has determined gives sufficient accuracy for all
reasonable purposes if the sample size is greater than about
60. There has also existed a need, even in small samples, for
a convenient algorithm for calculating P-values. The program
that is developed by the analysis will rapidly and accurately
allow researchers to present summary results of their tests.
F:\INVESTIG\DIE\NT\NT96\NT0196.WP