The Moving-Estimates Test for Parameter Stability
提出一种新的参数稳定性检验方法（移动估计检验），证明其渐近等价于似然比检验，且对暂时性参数变化具有更优的检验功效。
In this paper a new class of tests for parameter stability, the moving-estimates (ME) test, is proposed. It is shown that in the standard situation the ME test asymptotically equivalent to the maximal likelihood ratio test under the alternative of a temporary parameter shift. It is also shown that the asymptotic null distribution of the ME test is determined by the increments of a vector Brownian bridge and that under a broad class of alternatives the ME test is consistent and has nontrivial local power in general. Our simulations also demonstrate that the proposed test has power superior to other competing tests when parameters are temporarily instable.