This paper proposes a quasi-likelihood ratio (QLR) test for the null of constant parameters against the alternative of score-driven parameter dynamics. Score-driven models have been widely used in the literature to capture time variation in parameters across a diverse range of both continuous...

This paper proposes a quasi-likelihood ratio (QLR) test for the null of constant parameters against the alternative of score-driven parameter dynamics. Score-driven models have been widely used in the literature to capture time variation in parameters across a diverse range of both continuous...