Search Results - subject:"parameter instability"

Alexandre, Fernando; Bação, Pedro; Gabriel, Vasco - Grupo de Estudos Monetários e Financeiros (GEMF), … - 2005

Evidence of instability of the wealth effect in the USA is presented through the estimation of a Markov switching model of the long-run aggregate consumption function. The dating of the regimes appears to bear relation to movements in asset prices. A model-based explanation of the findings is...

Persistent link: https://www.econbiz.de/10005510373

On the Stablity of the Wealth Effect

Alexandre, Fernando; Bação, Pedro; Gabriel, Vasco J. - Núcleo de Investigação em Políticas Económicas … - 2005

Persistent link: https://www.econbiz.de/10005827126

The dynamic adjustments of stock prices to inflation disturbances

Valcarcel, Victor J. - In: Journal of Economics and Business 64 (2012) 2, pp. 117-144

While theoretical predictions establish a strong positive relationship between equity prices and inflation, finding substantiating empirical evidence has been a difficult endeavor. Generally, the data suggests a weak negative relationship between stock prices and inflation. Aided by two...

Persistent link: https://www.econbiz.de/10011065964

Robustness of the CUSUM and CUSUM-of-squares tests to serial correlation, endogeneity and lack of Structural invariance: Some Monte Carlo evidence

Caporale, Guglielmo Maria; Pittis, Nikitas - 2004

This paper investigates by means of Monte Carlo techniques the robustness of the CUSUM and CUSUM-of-squares tests (Brown et al., 1975) to serial correlation, endogeneity and lack of structural invariance. Our findings suggest that these tests perform better in the context of a dynamic model of...

Persistent link: https://www.econbiz.de/10010293734

Robustness of the CUSUM and CUSUM-of-Squares Tests to Serial Correlation, Endogeneity and Lack of Structural Invariance. Some Monte Carlo Evidence

Caporale, Guglielmo Maria; Pittis, Nikitas - Department of Economics and Finance Research and … - 2004

Persistent link: https://www.econbiz.de/10005764152

Optimally Testing General Breaking Processes in Linear Time Series Models

Elliott, Graham; Mueller, Ulrich K. - Department of Economics, University of California-San … - 2004

There are a large number of tests for instability or breaks in coefficients in regression models designed for different possible departures from a stable regression. We make two contributions to this literature. First, we provide conditions under which optimal tests are asymptotically...

Persistent link: https://www.econbiz.de/10010536423

Structural change tests for GEL criteria

Guay, Alain; Lamarche, Jean-Francois - Department of Economics, Brock University - 2010

This paper examines structural change tests based on generalized empirical likelihood methods in the time series context. Standard structural change tests for GMM with strongly identified parameters are adapted to the GEL context. We show that when moment conditions are properly smoothed, these...

Persistent link: https://www.econbiz.de/10008633241

Structural change tests based on implied probabilities for GEL criteria

Guay, Alain; Lamarche, Jean-Francois - Department of Economics, Brock University - 2009

This paper proposes Pearson-type statistics based on implied probabilities to detect structural change. The class of generalized empirical likelihood estimators (see Smith (1997)) assigns a set of implied probabilities to each observation such that moment conditions are satisfied. The proposed...

Persistent link: https://www.econbiz.de/10005040608

Testing Parameter Stability in Quantile Models: An Application to the U.S. Inflation Process

Lee, Dong Jin - Department of Economics, University of Connecticut - 2009

This paper considers parameter instability tests in conditional quantile models. I suggest tests for quantile parameter … shows an evidence of parameter instability in most quantile levels of all models. The semiparametric test rejects the … instability based on the asymptotically optimal tests of Lee (2008) both in parametric and semiparametric set-up. In parametric …

Persistent link: https://www.econbiz.de/10005027212

Model Instability and Choice of Observation Window

Pesaran, Hashem; Timmermann, Allan - Department of Economics, University of California-San … - 1999

Recent evidence suggests that many economic time series are subject to structural breaks. In the presence of breaks, including historical data prior to the most recent break to estimate a forecasting model will lead to prediction errors that are biased but also may have a smaller variance. This...

Persistent link: https://www.econbiz.de/10010536464