Recursive stability analysis of linear regression relationships. An exploratory methodology

DOI10.1016/0304-4076(82)90050-1zbMath0514.62117OpenAlexW1938326405MaRDI QIDQ1051384

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

predictionmodel validationstructural changesignificance testsrecursive estimationrecursive residualsexploratory analysisstability of linear regression relationships

Mathematics Subject Classification ID

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

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