Hi George,
There are lots of extensions of "Nyblom statistics" in
econometric packages, articles and papers.
A regression extension,
See also Johnston and Dinardo's textbook, section 4.3.2
implemented in PcGive (http://www.pcgive.com)
Author = {Hansen, B.~E.},
Title = {Testing for Parameter Instability in Linear Models},
Journal = {Journal of Policy Modeling},
Pages = {517-533},
Volume = {14},
Year = {1992}}
A seasonal extension,
Author = {Canova, F. and Hansen, B.~E.},
Title = {Are Seasonal Patterns Constant Over Time? A Test for Seasonal
Stability},
Journal = {Journal of Business and Economic Statistics},
Pages = {237-252},
Volume = {13},
Year = {1995}}
Lots of frequency zero stationarity tests, I(0) vs. I(1)
References in:
Author = {Hobijn, B. and Franses, P.~H. and Ooms, M.},
Title = {Generalizations of the {KPSS} test},
Number = {9802},
Institution = {Econometric Institute, Erasmus University Rotterdam},
Year = {1998}}
http://www.eur.nl/few/ei/links/ooms/papers
An recent exact version in the context of structural models,
Author = {Koopman, S.~J. and Shephard, N. and Doornik, J.~A.},
Title = {Statistical Algorithms for models in state space using {SsfPack} 2.2}
,
Journal = {The Econometrics Journal},
Volume = {2},
Year = {1999}}
Now on http://cwis.kub.nl/~few5/center/stamp/ssfpack.htm
later on http://www.blackwellpublishers.co.uk/ectj/
Harvey has recent work with Nyblom on stability testing,
http://www.econ.cam.ac.uk/faculty/harvey/index.htm
Hope this helps,
--
Marius Ooms mailto:[log in to unmask]
Editor Econometric Links The Econometrics Journal
http://www.eur.nl/few/ei/links
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