{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,3,26]],"date-time":"2026-03-26T07:21:26Z","timestamp":1774509686087,"version":"3.50.1"},"reference-count":33,"publisher":"Cambridge University Press (CUP)","issue":"5","license":[{"start":{"date-parts":[[2014,10,27]],"date-time":"2014-10-27T00:00:00Z","timestamp":1414368000000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/www.cambridge.org\/core\/terms"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Econom. Theory"],"published-print":{"date-parts":[[2015,10]]},"abstract":"<jats:p>It is well known that allowing the coefficients to be time-varying in a predictive model with possibly nonstationary regressors can help to deal with instability in predictability associated with linear predictive models. In this paper, an<jats:italic>L<\/jats:italic><jats:sub>2<\/jats:sub>-type test statistic is proposed to test the stability of the coefficient vector, and the asymptotic distributions of the proposed test statistic are developed under both null and alternative hypotheses. A Monte Carlo experiment is conducted to evaluate the finite sample performance of the proposed test statistic and an empirical example is examined to demonstrate the practical application of the proposed testing method.<\/jats:p>","DOI":"10.1017\/s0266466614000590","type":"journal-article","created":{"date-parts":[[2014,10,27]],"date-time":"2014-10-27T09:28:05Z","timestamp":1414402085000},"page":"953-980","source":"Crossref","is-referenced-by-count":31,"title":["TESTING INSTABILITY IN A PREDICTIVE REGRESSION MODEL WITH NONSTATIONARY REGRESSORS"],"prefix":"10.1017","volume":"31","author":[{"given":"Zongwu","family":"Cai","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Yunfei","family":"Wang","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Yonggang","family":"Wang","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"56","published-online":{"date-parts":[[2014,10,27]]},"reference":[{"key":"S0266466614000590_ref30","unstructured":"Wu L . (2013) Consistent nonparametric test on nonlinear regression models with nearly integrated covariates. Ph.D. dissertation, University of North Carolina at Charlotte."},{"key":"S0266466614000590_ref28","unstructured":"Wang Y . (2010) Essays on predictive regression models for asset returns. Ph.D. dissertation, University of North Carolina at Charlotte."},{"key":"S0266466614000590_ref22","doi-asserted-by":"publisher","DOI":"10.1214\/aop\/1176988179"},{"key":"S0266466614000590_ref27","doi-asserted-by":"publisher","DOI":"10.1086\/422634"},{"key":"S0266466614000590_ref26","unstructured":"Sun Y. , Cai Z. , & Li Q. (2008) Consistent Nonparametric Test on Parametric Smooth Coefficient Model with Nonstationary Data. Working paper, Department of Economics, University of Guelph."},{"key":"S0266466614000590_ref25","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(99)00041-0"},{"key":"S0266466614000590_ref33","doi-asserted-by":"publisher","DOI":"10.1214\/13-AOAS708"},{"key":"S0266466614000590_ref23","doi-asserted-by":"publisher","DOI":"10.1007\/978-3-662-02571-0_15"},{"key":"S0266466614000590_ref19","doi-asserted-by":"crossref","first-page":"1177","DOI":"10.3982\/ECTA11094","article-title":"On confidence intervals for autoregressive roots and predictive regression","volume":"82","author":"Phillips","year":"2014","journal-title":"Econometrica"},{"key":"S0266466614000590_ref32","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(95)01760-7"},{"key":"S0266466614000590_ref6","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466600009981"},{"key":"S0266466614000590_ref24","first-page":"179","volume-title":"Economic Structure Change, Analysis and Forecasting","author":"Robinson","year":"1991"},{"key":"S0266466614000590_ref3","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2005.08.004"},{"key":"S0266466614000590_ref21","doi-asserted-by":"crossref","unstructured":"Phillips P.C.B. , Li D. , & Gao J. (2013). Estimating Smooth Structural Change in Cointegration Models. Discussion paper no. 1910, Cowles Foundations, Yale University.","DOI":"10.2139\/ssrn.2327370"},{"key":"S0266466614000590_ref4","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2013.08.002"},{"key":"S0266466614000590_ref15","doi-asserted-by":"publisher","DOI":"10.1198\/073500102288618531"},{"key":"S0266466614000590_ref7","doi-asserted-by":"crossref","first-page":"1157","DOI":"10.3982\/ECTA7990","article-title":"Testing for smooth structural changes in time series models via nonparametric regression","volume":"80","author":"Chen","year":"2012","journal-title":"Econometrica"},{"key":"S0266466614000590_ref12","doi-asserted-by":"publisher","DOI":"10.1257\/jep.15.4.117"},{"key":"S0266466614000590_ref20","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2013.04.011"},{"key":"S0266466614000590_ref14","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2002.11.002"},{"key":"S0266466614000590_ref9","doi-asserted-by":"publisher","DOI":"10.1080\/10485259908832762"},{"key":"S0266466614000590_ref31","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2009.01.008"},{"key":"S0266466614000590_ref18","doi-asserted-by":"publisher","DOI":"10.2307\/1911357"},{"key":"S0266466614000590_ref1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109000003227"},{"key":"S0266466614000590_ref29","doi-asserted-by":"publisher","DOI":"10.1214\/12-AOS975"},{"key":"S0266466614000590_ref11","doi-asserted-by":"crossref","DOI":"10.1515\/9780691218632","volume-title":"Time Series Analysis","author":"Hamilton","year":"1994"},{"key":"S0266466614000590_ref8","doi-asserted-by":"publisher","DOI":"10.2307\/2171848"},{"key":"S0266466614000590_ref2","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhn056"},{"key":"S0266466614000590_ref13","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(97)00002-0"},{"key":"S0266466614000590_ref17","doi-asserted-by":"publisher","DOI":"10.1016\/j.jempfin.2005.11.001"},{"key":"S0266466614000590_ref10","volume-title":"Martingale Limit Theory and Its Applications","author":"Hall","year":"1980"},{"key":"S0266466614000590_ref5","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2005.05.008"},{"key":"S0266466614000590_ref16","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466699155026"}],"container-title":["Econometric Theory"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/www.cambridge.org\/core\/services\/aop-cambridge-core\/content\/view\/S0266466614000590","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2022,4,20]],"date-time":"2022-04-20T18:06:55Z","timestamp":1650478015000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.cambridge.org\/core\/product\/identifier\/S0266466614000590\/type\/journal_article"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2014,10,27]]},"references-count":33,"journal-issue":{"issue":"5","published-print":{"date-parts":[[2015,10]]}},"alternative-id":["S0266466614000590"],"URL":"https:\/\/doi.org\/10.1017\/s0266466614000590","relation":{},"ISSN":["0266-4666","1469-4360"],"issn-type":[{"value":"0266-4666","type":"print"},{"value":"1469-4360","type":"electronic"}],"subject":[],"published":{"date-parts":[[2014,10,27]]}}}