English, Article edition: QLL: Stata module to implement Elliott-Müller efficient test for general persistent time variation in regression coefficients Christopher F Baum

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Bookmark: http://trove.nla.gov.au/version/175039
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  • code
Language
  • English

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Title
  • QLL: Stata module to implement Elliott-Müller efficient test for general persistent time variation in regression coefficients
Author
  • Christopher F Baum
Physical Description
  • code
Notes
  • qll performs the qLL efficient test for general persistence in time variation in regression coefficients proposed by Elliott and Müller (Rev. Ec. Stud., 2006). The test contrasts a stable regression model y =​ X beta + Z gamma + epsilon from the unstable alternative y =​ X beta(t) + Z gamma + epsilon. This very general specification nests many of the 'structural break' and 'time varying parameter' models in the literature, allowing for almost any pattern of variation in the coefficients of the X variables, with good power and size even in a heteroskedastic context. Ben Jann's -moremata- package from this archive must be installed.
  • time-series data, time variation, structural change, structural stability
  • RePEc:boc:bocode:s456862
Language
  • English
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