Testing for parameter stability in a regression model with AR(1) errors

DOI10.1016/0165-1765(86)90074-1zbMATH Open1328.62093OpenAlexW1964086016MaRDI QIDQ899728FDOQ899728

Authors: C. Bram Cadsby, Thanasis Stengos 

Publication date: 1 January 2016

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

Full work available at URL: https://doi.org/10.1016/0165-1765(86)90074-1

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Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Linear regression; mixed models (62J05) Statistical methods; economic indices and measures (91B82)

Cited In (5)

• Testing for parameter instability in predictive regression models
• Coefficient constancy test in AR-ARCH models
• Testing AR(1) Against MA(1) Disturbances in the Linear Regression Model: An Alternative Procedure
• Test for partial parameter instability in regressions with \(I(1)\) processes
• Present value model, heteroscedasticity and parameter stability tests

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