This article derives the large-sample distributions of Lagrange multiplier (LM) tests for parameter instability against several alternatives of interest in the context of cointegrated regression models. The fully modified estimator of Phillips and Hansen is extended to cover general models with...

We consider the contribution to the analysis of economic time series of the generalized method-of-moments estimator introduced by Hansen. We outline the theoretical contribution, conduct a small-scale literature survey, and discuss some ongoing theoretical research.

The problem of testing for linearity and the number of regimes in the context of self-exciting threshold autoregressive (SETAR) models is reviewed. We describe least-squares methods of estimation and inference. The primary complication is that the testing problem is non-standard, due to the...

R. F. Engle's autoregressive conditional heteroskedastic model is extended to permit parametric specifications for conditional dependence beyond the mean and variance. The suggestion is to model the conditional density with a small number of parameters, and then model these parameters as...

A new asymptotic theory of regression is introduced for possibly nonstationary time series. The regressors are assumed to be generated by a linear process with martingale difference innovations. The conditional variances of these martingale differences are specified as autoregressive stochastic...

The authors study the asymptotic distribution of econometric tests involving nuisance parameters that are not identified under the null hypotheses. In general, the asymptotic distributions depend upon a large number of unknown parameters. The authors show that a transformation based upon a...