Testing for parameter instability and structural change in persistent predictive regressions
Torben G. Andersen, Rasmus T. Varneskov
| Year of publication: |
2022
|
|---|---|
| Authors: | Andersen, Torben ; Varneskov, Rasmus Tangsgaard |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 231.2022, 2, p. 361-386
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| Subject: | Cointegration | Fractional integration | Frequency domain inference | Local spectrum procedure | Parameter instability | Structural change | Volatility forecasting | Schätztheorie | Estimation theory | Zeitreihenanalyse | Time series analysis | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Kointegration | Strukturbruch | Structural break | VAR-Modell | VAR model | Strukturwandel | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2021.05.011 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013464808