{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,3,16]],"date-time":"2026-03-16T10:14:01Z","timestamp":1773656041767,"version":"3.50.1"},"reference-count":20,"publisher":"Cambridge University Press (CUP)","issue":"4","license":[{"start":{"date-parts":[[2009,2,11]],"date-time":"2009-02-11T00:00:00Z","timestamp":1234310400000},"content-version":"unspecified","delay-in-days":4943,"URL":"https:\/\/www.cambridge.org\/core\/terms"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Econom. Theory"],"published-print":{"date-parts":[[1995,8]]},"abstract":"<jats:p>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.<\/jats:p>","DOI":"10.1017\/s0266466600009695","type":"journal-article","created":{"date-parts":[[2009,3,10]],"date-time":"2009-03-10T15:39:43Z","timestamp":1236699583000},"page":"699-720","source":"Crossref","is-referenced-by-count":43,"title":["The Moving-Estimates Test for Parameter Stability"],"prefix":"10.1017","volume":"11","author":[{"given":"Chia-Shang James","family":"Chu","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Kurt","family":"Hornik","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Chung-Ming","family":"Kuan","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"56","published-online":{"date-parts":[[2009,2,11]]},"reference":[{"key":"S0266466600009695_ref013","first-page":"321","article-title":"Tests for parameter instability in regressions with I (1) processes","volume":"10","author":"Hansen","year":"1992","journal-title":"Journal of Business and Economic Statistics"},{"key":"S0266466600009695_ref020","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466600012032"},{"key":"S0266466600009695_ref012","doi-asserted-by":"publisher","DOI":"10.1080\/01621459.1979.10481038"},{"key":"S0266466600009695_ref008","doi-asserted-by":"publisher","DOI":"10.2307\/1910133"},{"key":"S0266466600009695_ref007","doi-asserted-by":"crossref","first-page":"149","DOI":"10.1111\/j.2517-6161.1975.tb01532.x","article-title":"Techniques for testing the constancy of regression relationships over time","volume":"37","author":"Brown","year":"1975","journal-title":"Journal of the Royal Statistical Society, Series B"},{"key":"S0266466600009695_ref019","doi-asserted-by":"publisher","DOI":"10.1007\/BF00531606"},{"key":"S0266466600009695_ref014","first-page":"368","article-title":"A test for a change point in a parametric model based on a maximal Waldtype statistic","volume":"49","author":"Hawkins","year":"1987","journal-title":"Sankhy\u0101: Indian Journal of Statistics"},{"key":"S0266466600009695_ref006","volume-title":"Convergence of Probability Measures.","author":"Billingsley","year":"1968"},{"key":"S0266466600009695_ref016","doi-asserted-by":"publisher","DOI":"10.1016\/0165-1765(93)00360-Z"},{"key":"S0266466600009695_ref011","doi-asserted-by":"crossref","first-page":"289","DOI":"10.1080\/07350015.1992.10509906","article-title":"A direct test for changing trend","volume":"10","author":"Chu","year":"1992","journal-title":"Journal of Business and Economic Statistics"},{"key":"S0266466600009695_ref004","article-title":"Optimal tests when a nuisance parameter is present only under the alternative","author":"Andrews","year":"1995","journal-title":"Econometrica"},{"key":"S0266466600009695_ref010","volume-title":"BEBR working paper 93\u20130159 (revision of 92\u20130148)","author":"Chu","year":"1993"},{"key":"S0266466600009695_ref015","doi-asserted-by":"publisher","DOI":"10.1016\/0167-7152(93)90033-F"},{"key":"S0266466600009695_ref018","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(89)90087-0"},{"key":"S0266466600009695_ref002","doi-asserted-by":"publisher","DOI":"10.2307\/2951764"},{"key":"S0266466600009695_ref001","doi-asserted-by":"publisher","DOI":"10.2307\/2938229"},{"key":"S0266466600009695_ref009","unstructured":"Chu C.-S.J. 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