Quintos, Carmela E; Phillips, Peter C B - In: Empirical Economics 18 (1993) 4, pp. 675-706
This paper proposes an approach to testing for coefficient stability in cointegrating regressions in time series models. The test statistic considered is the one-sided version of the Lagrange Multiplier (LM) test. Its limit distribution is non-standard but is nuisance parameter free and can be...