Análisis comparativo de 3 estadísticos para la contrastación de inestabilidad paramétrica en relaciones de cointegración

  1. Peruga Urrea, Rodrigo
  2. Fernández Serrano, José Luis
Journal:
Documentos de Trabajo (ICAE)

ISSN: 2341-2356

Year of publication: 1997

Issue: 2

Pages: 1-31

Type: Working paper

More publications in: Documentos de Trabajo (ICAE)

Abstract

This paper compares the performance of 3 tests for parameter inestability in cointegrating vectors recently developed by Hansen (1992), Hansen and Johansen (1993), and Hansen and Gregory (1996). The tests are defined as the supremum or the mean from the sequence of statistics computed for each passible break point in the sample. We examine the empirical distribution of the tests, their possible dependence on nuisance parameters and their power against various alternatives. We also analyze the bias in the beak paint estimator defined as the sample observatian of fue supremum statistic. Results indicate that the Hansen-Gregrory test, a sequential ADF test, has the best power and bias properties of the three.