Testing for parameter instability in predictive regression models
Iliyan Georgiev, David I. Harvey, Stephen J. Leybourne, A.M. Robert Taylor
| Year of publication: |
May 2018
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| Authors: | Georgiev, Iliyan ; Harvey, David I. ; Leybourne, Stephen James ; Taylor, Robert |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 204.2018, 1, p. 101-118
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| Subject: | Predictive regression | Persistence | Parameter stability tests | Fixed regressor wild bootstrap | Conditional distribution | Schätztheorie | Estimation theory | Bootstrap-Verfahren | Bootstrap approach | Regressionsanalyse | Regression analysis | Prognoseverfahren | Forecasting model | Schätzung | Estimation | Statistischer Test | Statistical test |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2018.01.005 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011974719