Testing for parameter instability in predictive regression models
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- scientific article; zbMATH DE number 472927
- scientific article; zbMATH DE number 3921769
- Parametric and semi-parametric efficient tests for parameter instability
Cites work
- scientific article; zbMATH DE number 4096468 (Why is no real title available?)
- Estimating and Testing Linear Models with Multiple Structural Changes
- Inference on co-integration parameters in heteroskedastic vector autoregressions
- Instrumental variable and variable addition based inference in predictive regressions
- Maximum Likelihood Estimation of Misspecified Models
- Nearly optimal tests when a nuisance parameter is present under the null hypothesis
- Optimal Inference in Regression Models with Nearly Integrated Regressors
- Probability Theory with Applications
- STATIONARITY TESTS UNDER TIME-VARYING SECOND MOMENTS
- Spectral tests of the martingale hypothesis under conditional heteroscedasticity
- Testing for structural change in conditional models
- Testing for the Constancy of Parameters Over Time
- Testing instability in a predictive regression model with nonstationary regressors
- Testing the Null of Co-integration in the Presence of Variance Breaks
- Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
- Tests for Parameter Instability and Structural Change With Unknown Change Point
Cited in
(23)- Testing for structural change in conditional models
- Robust inference with stochastic local unit root regressors in predictive regressions
- Bootstrapping structural change tests
- Bootstrap procedures for detecting multiple persistence shifts in heteroskedastic time series
- A Bootstrap Stationarity Test for Predictive Regression Invalidity
- A new test for structural stability in the linear regression model
- Testing for Structural Change of Predictive Regression Model to Threshold Predictive Regression Model
- Analyzing cross-validation for forecasting with structural instability
- Testing for parameter instability and structural change in persistent predictive regressions
- Semi-parametric single-index predictive regression models with cointegrated regressors
- Testing for episodic predictability in stock returns
- TESTING THE STABILITY OF REGRESSION COEFFICIENTS USING GENERALIZED RECURSIVE RESIDUALS
- Generalized M‐fluctuation tests for parameter instability
- Testing instability in a predictive regression model with nonstationary regressors
- Extensions to IVX methods of inference for return predictability
- Penetrating sporadic return predictability
- Present value model, heteroscedasticity and parameter stability tests
- Testing for time-varying factor loadings in high-dimensional factor models
- Bootstrap tests for structural breaks when the regressors and the serially correlated error term are unstable
- Parametric and semi-parametric efficient tests for parameter instability
- The distribution of rolling regression estimators
- Alternative Tests for Parameter Stability
- Efficient Tests for General Persistent Time Variation in Regression Coefficients
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