HSU, CHIH-CHIANG; KUAN, CHUNG-MING - In: Econometrics Journal 4 (2001) 2, pp. 1-1
We demonstrate that in time trend models, the likelihood-based tests of partial parameter stability have size distortions and cannot be applied to detect the changing pa-rameter. A two-step procedure is then proposed to distinguish between different trend-break models. This procedure involves...