Chu, Chia-Shang James; Hornik, Kurt; Kuan, Chung-Ming - In: Econometric Theory 11 (1995) 04, pp. 699-720
In this paper a new class of tests for parameter stability, the moving-estimates (ME) test, is proposed. It is shown that in the standard situation the ME test asymptotically equivalent to the maximal likelihood ratio test under the alternative of a temporary parameter shift. It is also shown...