The Econometric SocietyEdited by: Guido W. Imbens • Print ISSN: 0012-9682 • Online ISSN: 1468-0262
Econometrica: May, 1996, Volume 64, Issue 3
https://doi.org/0012-9682(199605)64:3<597:TFPCIL>2.0.CO;2-K
p. 597-622
Jushan Bai
This paper proposes some tests for parameter constancy in linear regressions. The tests use weighted empirical distribution functions of estimated residuals and are asymptotically distribution free. The local power analysis reveals that the proposed tests have nontrivial local power against a wide range of alternatives. In particular, the tests are capable of detecting error heterogeneity that is not necessarily manifested in the form of changing variances. The model allows for both dynamic and trending regressors. The residuals may be obtained based on any root-$n$ consistent estimator (under the null) of regression parameters. As an intermediate result, some weak convergence for (stochastically) weighted sequential empirical processes is established.
March 5, 2024
The terms of the Editors of the Econometric Society's three journals end June 30, 2025. We are pleased to announce the incoming Editors and to thank the outgoing Editors for their excellent and continuing service.
Econometrica: Since 2019, Guido Imbens has served as the 14th Editor of Econometrica. On July 1, 2025, Marina Halac will become the Editor.
Quantitative Economics: Stéphane Bonhomme has been the Editor of Quantitative Economics since 2021. His successor will be Bernard Salanié.
Theoretical Economics: The Editor of Theoretical Economics since 2021 has been Simon Board. Taking over for him in July 2025 will be Federico Echenique.
Guido, Stéphane, and Simon have been outstanding Editors. We are grateful to them for the work they have done and will continue to do, and we look forward to further congratulating them next year. We believe Marina, Bernard, and Federico will be outstanding successors and we thank them in advance for their service.
Finally, we are grateful to Larry Samuelson for chairing all three search committees, and we thank the search committee members for their hard and fruitful work:
Econometrica: Christian Dustmann, Lars Hansen, Alessandro Lizzeri, George Mailath, Ariel Pakes, Helene Rey, and Elie Tamer.
QE: Kate Ho, Michael Keane, Felix Kubler, Whitney Newey, and Frank Schorfheide.
TE: Jeff Ely, Johannes Horner, Gilat Levy, Meg Meyer, and Ran Spiegler.
