Publication in refereed journal
香港中文大学研究人员 ( 现职)
| 庄太量教授 (经济学系) |
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Scopushttp://aims.cuhk.edu.hk/converis/portal/Publication/0Scopus source URL
其它资讯
摘要Consider a simple structural break model where yt = α1 + β1f(xt) + ut for t ≤ khttp://aims.cuhk.edu.hk/converis/portal/Publication/0 and yt = α2 + β2f(xt) + ut for t > khttp://aims.cuhk.edu.hk/converis/portal/Publication/0. The timing of break and the structural parameters are unknown. Suppose the true functional form of the regressor f(·) is misspecified as g(·). We do not place too many restrictions on the functional forms of f(·) and g(·). A frequently encountered example in economics is that the true model is measured in level, but we estimate a log-linear model, i.e. when f(xt) = xt and g(xt) = log(xt) For any f(·) and g(·), we derive a nonstandard limiting null distribution of the sup-Wald test statistic under some very general regularity conditions. Monte Carlo simulations support our findings. ? 1999 Elsevier Science B.V. All rights reserved.
着者Chong T.T.-L.
期刊名称Structural Change and Economic Dynamics
出版年份1999
月份12
日期1
卷号1http://aims.cuhk.edu.hk/converis/portal/Publication/0
期次3-4
出版社Elsevier BV
出版地Netherlands
页次421 - 43http://aims.cuhk.edu.hk/converis/portal/Publication/0
国际标準期刊号http://aims.cuhk.edu.hk/converis/portal/Publication/0954-349X
语言英式英语
关键词Brownian motions, Functional forms, Specification errors, Structural break
