Testing parameter constancy in models with infinite variance errors.

DOI10.1016/S0165-1765(01)00413-XzbMath1110.62320OpenAlexW1999195047MaRDI QIDQ5941114

Mei-Yuan 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

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

Related Items (1)

Quantile Regression Estimator for GARCH Models

Uses Software

• SYMSTB

Cites Work

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• A new test for structural stability in the linear regression model
• Tests for Parameter Instability and Structural Change With Unknown Change Point
• The Use of MOSUMS for Quality Control
• Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
• The generalized fluctuation test: A unifying view

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