Structural stability tests in the linear regression model when the regressors have roots local to unity

DOI10.1016/S0165-1765(96)00852-XMaRDI QIDQ673201zbMATH OpenFDO

Authors Jonathan H. Wright

Publication date 28 February 1997

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/S0165-1765(96)00852-X

zbMATH Keywords

RegressionStructural stabilityNear unit roots

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Statistical methods; economic indices and measures (91B82) Economic time series analysis (91B84)

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Cites work

• Testing for the Constancy of Parameters Over Time
• Tests for Parameter Instability and Structural Change With Unknown Change Point
• Tests of the Hypothesis that a Linear Regression System Obeys Two Separate Regimes

Cited in

(5)

• Testing for an unstable root in conditional and structural error correction models
• A new test for structural stability in the linear regression model
• Extensions of some classical methods in change point analysis
• Another numerical method of finding critical values for the Andrews stability test
• ON THE ROBUSTNESS OF HYPOTHESIS TESTING BASED ON FULLY MODIFIED VECTOR AUTOREGRESSION WHEN SOME ROOTS ARE ALMOST ONE

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