Search Results - subject:"parameter constancy"

Detecting Equilibrium Correction with Smoothly Time-Varying Strength

Eliasson, Ann-Charlotte - In: Studies in Nonlinear Dynamics & Econometrics 5 (2007) 2, pp. 1075-1075

existing tests of no cointegration and parameter constancy. Smooth-transition regressions are chosen to describe the … nonlinearity, and the Johansen cointegration test and the Lin and TerÂ¨asvirta parameter constancy test are applied. It turns out … cointegrated variables freely enter the model in levels. The power of the parameter constancy test for the unrestricted …

Persistent link: https://www.econbiz.de/10004966277

Detecting Equilibrium Correction with Smoothly Time-Varying Strength

Eliasson, Ann-Charlotte - In: Studies in Nonlinear Dynamics & Econometrics 5 (2001) 2

existing tests of no cointegration and parameter constancy. Smooth-transition regressions are chosen to describe the … nonlinearity, and the Johansen cointegration test and the Lin and Ter¨asvirta parameter constancy test are applied. It turns out … cointegrated variables freely enter the model in levels. The power of the parameter constancy test for the unrestricted …

Persistent link: https://www.econbiz.de/10014620846

Detecting Equilibrium Correction with Smoothly Time-Varying Strength

Eliasson, Ann-Charlotte - In: Studies in Nonlinear Dynamics & Econometrics 5 (2001) 2, pp. 1075-1075

Persistent link: https://www.econbiz.de/10005751421

Diagnostic Checking in a Flexible Nonlinear Time Series Model

Medeiros, Marcelo; Veiga, Alvaro - Economics Institute for Research (SIR), … - 2000

-ANN) models. The tests are Lagrange multiplier (LM) type tests of parameter constancy against the alternative of smoothly changing …

Persistent link: https://www.econbiz.de/10005649305

Some tests for parameter constancy in cointegrated VAR-models

HANSEN, HENRIK; JOHANSEN, SØREN - In: Econometrics Journal 2 (1999) 2, pp. 306-333

Some methods for the evaluation of parameter constancy in cointegrated vector autoregressive (VAR) models are discussed …

Persistent link: https://www.econbiz.de/10005100046

Testing for Seasonal Stability in Unemployment Series: International Evidence

Banik, Shipra; Silvapulle, Param - In: Empirica 26 (1999) 2, pp. 123-139

Persistent link: https://www.econbiz.de/10005719067

Nonlinear error-correction and the UK demand for broad money, 1878-1993

Teräsvirta, Timo; Eliasson, Ann-Charlotte - Economics Institute for Research (SIR), … - 1998

This paper reconsiders a nonlinear error-correction model of UK broad money demand by Ericsson, Hendry and Prestwich. Their model can be viewed as an approximation to a smooth transition regression (STR) type specification. The corresponding STR model, when estimated, turns out to encompass the...

Persistent link: https://www.econbiz.de/10005649340

Evaluating GARCH models

Lundbergh, Stefan; Teräsvirta, Timo - Economics Institute for Research (SIR), … - 1998

LM type tests of no ARCH in standardized errors, linearity, and parameter constancy are proposed. The asymptotic null …

Persistent link: https://www.econbiz.de/10005649341

Empirical modeling of money demand

Ericsson, Neil R. - In: Empirical Economics 23 (1998) 3, pp. 295-315

theory, data measurement, parameter constancy, the opportunity cost of holding money, cointegration, model specification …

Persistent link: https://www.econbiz.de/10005166656

Modelling the Demand for M3 in the unified Germany

Wolters, Jürgen; Teräsvirta, Timo; Lütkepohl, Helmut - Economics Institute for Research (SIR), … - 1996

series of misspecification tests. In particular, a number of recent tests of parameter constancy and linearity are applied …

Persistent link: https://www.econbiz.de/10005649183