Testing for parameter instability and structural change in persistent predictive regressions

cointegration fractional integration structural change parameter instability volatility forecasting frequency domain inference local spectrum procedure

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites Work

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Econometric Theory and Practice
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SPATIAL DEPENDENCE IN OPTION OBSERVATION ERRORS

Cited In (7)

A new test for structural stability in the linear regression model
Testing for parameter instability in predictive regression models
Tests for Parameter Instability and Structural Change With Unknown Change Point
Nonparametric testing for long-horizon predictability with persistent covariates
Changepoint Detection in Heteroscedastic Random Coefficient Autoregressive Models
Test for partial parameter instability in regressions with \(I(1)\) processes
CONSISTENT LOCAL SPECTRUM INFERENCE FOR PREDICTIVE RETURN REGRESSIONS

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