Testing parameter constancy in linear models against stochastic stationary parameters

DOI10.1016/S0304-4076(98)00041-4zbMath0930.62088OpenAlexW1971484986WikidataQ128127230 ScholiaQ128127230MaRDI QIDQ1298466

Timo Teräsvirta, Chien-Fu Jeff Lin

Publication date: 13 February 2000

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4076(98)00041-4

zbMATH Keywords

parameter stabilityLagrange multiplier testvector autoregressive processtime varying parameterslack of identificationreturn to normale

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05)

Related Items (6)

Modelling structural breaks, long memory and stock market volatility: an overview ⋮ Testing Parameter Constancy in Unit Root Autoregressive Models Against Multiple Continuous Structural Changes ⋮ Bayesian modelling of time-varying conditional heteroscedasticity ⋮ Modelling nonlinearities in commodity prices using smooth transition regression models with exogenous transition variables ⋮ Time-varying nonlinear regression models: nonparametric estimation and model selection ⋮ Simultaneous inference for time-varying models

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• A Simple Test for Heteroscedasticity and Random Coefficient Variation
• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• Bayesian and non-Bayesian methods for combining models and forecasts with applications to forecasting international growth rates
• Recursive stability analysis of linear regression relationships. An exploratory methodology
• Some identification and estimation results for regression models with stochastically varying coefficients
• Some comparisons of tests for a shift in the slopes of a multivariate linear time series model
• Testing the constancy of regression parameters against continuous structural change
• Tests for Parameter Instability and Structural Change With Unknown Change Point
• Inference in Linear Time Series Models with some Unit Roots
• Tests of the Hypothesis that a Linear Regression System Obeys Two Separate Regimes
• Tests of Equality Between Sets of Coefficients in Two Linear Regressions
• Testing for the Constancy of Parameters Over Time
• The Cusum Test with Ols Residuals
• Hypothesis Testing When a Nuisance Parameter is Present Only Under the Alternative
• Computing the distribution of quadratic forms in normal variables

This page was built for publication: Testing parameter constancy in linear models against stochastic stationary parameters