25-063/III - Testing for the Absence of Score-Driven Parameter Dynamics

• Authors
  Andre Lucas, Vrije Universiteit Amsterdam; Yicong Lin, Vrije Universiteit Amsterdam
• Publication date
  October 24, 2025

• Keywords
  parameter constancy, score-driven models, quasi-likelihood ratio test, parameters on the boundary, nonidentification
• JEL
  C10, C12, C32