Testing parameter constancy in linear models against stochastic stationary parameters

DOI10.1016/S0304-4076(98)00041-4zbMath0930.62088OpenAlexW1971484986WikidataQ128127230 ScholiaQ128127230MaRDI QIDQ1298466

Timo Teräsvirta, Chien-Fu Jeff Lin

Publication date: 13 February 2000

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

Full work available at URL: https://doi.org/10.1016/s0304-4076(98)00041-4

zbMATH Keywords

parameter stabilityLagrange multiplier testvector autoregressive processtime varying parameterslack of identificationreturn to normale

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05)

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