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

DOI10.1016/S0165-1765(96)00852-XzbMATH Open0900.90187MaRDI QIDQ673201FDOQ673201

Jonathan H. Wright

Publication date: 28 February 1997

Published in: Economics Letters (Search for Journal in Brave)

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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)

Cites Work

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

Cited In (4)

• 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
• ON THE ROBUSTNESS OF HYPOTHESIS TESTING BASED ON FULLY MODIFIED VECTOR AUTOREGRESSION WHEN SOME ROOTS ARE ALMOST ONE

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