Recursive stability analysis of linear regression relationships. An exploratory methodology

DOI10.1016/0304-4076(82)90050-1MaRDI QIDQ1051384zbMATH OpenOpenAlexFDO

Authors Jean-Marie Dufour

Publication date 1982

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0304-4076(82)90050-1

zbMATH Keywords

predictionrecursive estimationstructural changerecursive residualsexploratory analysismodel validationsignificance testsstability of linear regression relationships

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20)

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Cited in

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• Structural change and unit roots
• Exact tests for structural change in first-order dynamic models
• Changes in seasonal patterns. Are they cyclical?
• A cusum test in the linear regression model with serially correlated disturbances
• A new test for structural stability in the linear regression model
• A nonparametric test for poolability using panel data
• A non-local perspective on the power properties of the CUSUM and CUSUM of squares tests for structural change
• Recursive instrumental variable estimation of simultaneous equations with autoregressive disturbances
• Recent developments in the econometrics of structural change
• Wavelet analysis of change-points in a non-parametric regression with heteroscedastic variance
• On the power of tests for superexogeneity and structural invariance
• Testing for causality in real time
• Recursive estimation in econometrics
• Sequential tests of causality between environmental time series: with application to the global warming theory
• Model-based control charts in phase 1 statistical process control
• The Lucas critique revisited: Assessing the stability of empirical Euler equations for investment
• On Locating and Characterizing Parameter Variation by the Mosumsq Test Statistic
• The robustness of point optimal testing for rosenberg random regression coefficients
• Testing parameter constancy in linear models against stochastic stationary parameters
• Changes in seasonal patterns

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