This paper derives the large sample distributions of Lagrange multiplier tests for parameter instability against several alternatives of interest in the context of cointegrated regression models. The test statistics considered include the SupF test of Quandt (1960), as well as the LM test of...

A theory of testing under non-standard conditions is developed. By viewing the likelihood as a function of the unknown parameters, empirical process theory enables us to bound the asymptotic distribution of standardized likelihood ratio statistics, even when conventional regularity conditions...

The problem of testing for linearity and the number of regimes in the context of self-exciting threshold autoregressive (SETAR) models is reviewed. We describe least-squares methods of estimation and inference. The primary complication is that the testing problem is non-standard, due to the...

We consider the contribution to the analysis of economic time series of the generalized method-of-moments estimator introduced by Hansen. We outline the theoretical contribution, conduct a small-scale literature survey, and discuss some ongoing theoretical research.

Recently A. W. Gregory and B. E. Hansen (1996) proposed a number of residual-based tests for cointegration models with the possibility of a structural break. They considered three models: level shift, level shift with trend, and regime shift (both level shift and slope coefficients can change)....

R. F. Engle's autoregressive conditional heteroskedastic model is extended to permit parametric specifications for conditional dependence beyond the mean and variance. The suggestion is to model the conditional density with a small number of parameters, and then model these parameters as...