Present value model, heteroscedasticity and parameter stability tests

DOI10.1016/S0165-1765(01)00506-7MaRDI QIDQ5958417zbMATH OpenFDO

Authors Jack Strauss, Taner Yigit

Publication date 3 March 2002

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/S0165-1765(01)00506-7

zbMATH Keywords

heteroscedasticityparameter stabilitypresent value

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Recommendations

• Testing for parameter instability in predictive regression models
• External bootstrap tests for parameter stability.
• Testing for parameter stability in a regression model with AR(1) errors
• Alternative Tests for Parameter Stability
• Testing parameter constancy in models with infinite variance errors.

Cites work

• Cointegration tests with conditional heteroskedasticity.
• Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
• Testing for structural change in conditional models
• Tests for Parameter Instability and Structural Change With Unknown Change Point

Cited in

(3)

• The Lucas critique revisited: Assessing the stability of empirical Euler equations for investment
• Learning, Structural Instability, and Present Value Calculations
• Firm size, information acquisition and price efficiency

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