Detection And Modeling Of Regression Parameter Variation Across Frequencies
AbstractA simple technique for directly testing the parameters of a time-series regression model for instability across frequencies is presented. The method can be implemented easily in the time domain, so that parameter instability across frequency bands can be conveniently detected and modeled in conjunction with other econometric features of the problem athand, such as simultaneity, cointegration, missing observations, andcross-equation restrictions. The usefulness of the newtechnique is illustrated with an application to a cointegratedconsumption-income regression model, yielding a straightforwardtest of the permanent income hypothesis.
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Bibliographic InfoArticle provided by Cambridge University Press in its journal Macroeconomic Dynamics.
Volume (Year): 3 (1999)
Issue (Month): 01 (March)
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- Richard A. Ashley. & Randall J. Verbrugge, 2006.
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e06-7, Virginia Polytechnic Institute and State University, Department of Economics.
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- Richard A. Ashley. & Randall J. Verbrugge., 2006. "Mis-Specification and Frequency Dependence in a New Keynesian Phillips Curve," Working Papers e06-12, Virginia Polytechnic Institute and State University, Department of Economics.
- Feng Zhu, 2005. "The fragility of the Phillips curve: A bumpy ride in the frequency domain," BIS Working Papers 183, Bank for International Settlements.
- Richard A. Ashley & Randall J. Verbrugge., 2006. "Mis-Specification in Phillips Curve Regressions: Quantifying Frequency Dependence in This Relationship While Allowing for Feedback," Working Papers e06-11, Virginia Polytechnic Institute and State University, Department of Economics.
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