Generalized M-Fluctuation Tests for Parameter Instability

Achim Zeileis, Kurt Hornik

Publication: Working/Discussion PaperWU Working Paper

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Abstract

A general class of fluctuation tests for parameter instability in an M-estimation framework is suggested. The tests are based on partial sum processes of M-estimation scores for which functional central limit theorems are derived under the null hypothesis of parameter stability and local alternatives. Special emphasis is given to parameter instability in (generalized) linear regression models and it is shown that the introduced M-fluctuation tests contain a large number of parameter instability or structural change tests known from the statistics and econometrics literature. The usefulness of the procedures is illustrated using artificial data and data for the German M1 money demand, historical demographic time series from Großarl, Austria, and youth homicides in Boston.

Publication series

SeriesReport Series SFB "Adaptive Information Systems and Modelling in Economics and Management Science"
Number80

WU Working Paper Series

  • Report Series SFB \Adaptive Information Systems and Modelling in Economics and Management Science\

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