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...

Theoretical constraints on economic model parameters often are in the form of inequality restrictions. For example, many theoretical results are in the form of monotonicity or nonnegativity restrictions. Inequality constraints can truncate sampling distributions of parameter estimators, so that...