On the deficiency of tests for structural change in a non-cointegration regression model

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概要

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• We consider the t and F type tests for testing a structual change in economic relationship whose data generating process is non-cointegration. We show that the distributions of these t and F tests do not have standard asymptotic distributions and in small sample they perform over rejection for the null hypothesis of no structual change. To do so we derive the nonstandard asymptotic distributions of the normalized these tests and show the finite sample distributions by Monte Carlo experiment.

• 香川大学の論文

著者

• 久松 博之

  香川大学経済学部

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