Testing parameter constancy in models with infinite variance errors.

DOI10.1016/S0165-1765(01)00413-XMaRDI QIDQ5941114zbMATH OpenOpenAlexFDO

Authors M.-Y. Chen, Chung-Ming Kuan

Publication date 20 August 2001

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0165-1765(01)00413-x

zbMATH Keywords

Least absolute deviation estimatesMoving estimatesParameter constancyRecursive estimatesStable law

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Nonparametric hypothesis testing (62G10)

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Cites work

• A new test for structural stability in the linear regression model
• scientific article; zbMATH DE number 3502628 (Why is no real title available?)
• scientific article; zbMATH DE number 4001209 (Why is no real title available?)
• Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
• Tests for Parameter Instability and Structural Change With Unknown Change Point
• The generalized fluctuation test: A unifying view
• The Use of MOSUMS for Quality Control

Cited in

(4)

• Error estimation in the method of dependent tests for multiple parametric integrals with infinite variance
• Quantile regression estimator for GARCH models
• scientific article; zbMATH DE number 5233422 (Why is no real title available?)
• Present value model, heteroscedasticity and parameter stability tests

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Uses Software

• SYMSTB

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