Testing for parameter instability in predictive regression models

DOI10.1016/j.jeconom.2018.01.005zbMath1387.62101OpenAlexW2784883405MaRDI QIDQ1745619

Stephen J. Leybourne, David I. Harvey, Iliyan Georgiev, A. M. Robert Taylor

Publication date: 18 April 2018

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2018.01.005

zbMATH Keywords

persistenceconditional distributionpredictive regressionfixed regressor wild bootstrapparameter stability tests

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)

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