Alternative Tests for Parameter Stability

DOI10.1080/03610910600591479zbMATH Open1093.62068OpenAlexW2027492237MaRDI QIDQ5481624FDOQ5481624

Authors: Sami Khedhiri 

Publication date: 10 August 2006

Published in: Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610910600591479

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zbMATH Keywords

Monte Carlo methodsstructural changecentral limit theorymoving estimators

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Asymptotic distribution theory in statistics (62E20) Functional limit theorems; invariance principles (60F17)

Cites Work

• Title not available (Why is that?)
• The Estimation of the Parameters of a Linear Regression System Obeying Two Separate Regimes
• Tests for Parameter Instability and Structural Change With Unknown Change Point
• The first-passage density of a continuous gaussian process to a general boundary
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
• Tests of Equality Between Sets of Coefficients in Two Linear Regressions
• Testing for the Constancy of Parameters Over Time
• A functional central limit theorem for weakly dependent sequences of random variables
• A new test for structural stability in the linear regression model
• Inference in Nonlinear Econometric Models with Structural Change
• Testing for Structural Change in Dynamic Models
• Two Methods for Examining the Stability of Regression Coefficients

Cited In (10)

• Stability of testing hypotheses
• Testing for structural stability in the whole sample
• Moving estimates test with time varying bandwidth
• Testing for parameter stability in quantile regression models
• Generalized M‐fluctuation tests for parameter instability
• Another numerical method of finding critical values for the Andrews stability test
• Testing parameter constancy in models with infinite variance errors.
• Present value model, heteroscedasticity and parameter stability tests
• External bootstrap tests for parameter stability.
• The generalized fluctuation test: A unifying view

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