TESTING INSTABILITY IN A PREDICTIVE REGRESSION MODEL WITH NONSTATIONARY REGRESSORS
提出一种L2型检验统计量，用于检验含非平稳回归变量的预测模型中系数向量的稳定性，并给出渐近分布和蒙特卡洛模拟结果。
It is well known that allowing the coefficients to be time-varying in a predictive model with possibly nonstationary regressors can help to deal with instability in predictability associated with linear predictive models. In this paper, an L 2 -type test statistic is proposed to test the stability of the coefficient vector, and the asymptotic distributions of the proposed test statistic are developed under both null and alternative hypotheses. A Monte Carlo experiment is conducted to evaluate the finite sample performance of the proposed test statistic and an empirical example is examined to demonstrate the practical application of the proposed testing method.