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Detection And Modeling Of Regression Parameter Variation Across Frequencies

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Author Info

  • Tan, Hui Boon
  • Ashley, Richard

Abstract

A 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 Info

Article provided by Cambridge University Press in its journal Macroeconomic Dynamics.

Volume (Year): 3 (1999)
Issue (Month): 01 (March)
Pages: 69-83

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Handle: RePEc:cup:macdyn:v:3:y:1999:i:01:p:69-83_01

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Cited by:
  1. Richard A. Ashley. & Randall J. Verbrugge, 2006. "Frequency Dependence in Regression Model Coefficients: An Alternative Approach for Modeling Nonlinear Dynamic Relationships in Time Series," Working Papers e06-7, Virginia Polytechnic Institute and State University, Department of Economics.
  2. Rui Pascoal, 2012. "Macroeconomic Factors of Household Default. Is There Myopic Behaviour?," GEMF Working Papers 2012-20, GEMF - Faculdade de Economia, Universidade de Coimbra.
  3. R. Becker & W. Enders & S. Hurn, 2001. "Modelling Structural Change in Money Demand Using a Fourier-Series Approximation," Research Paper Series 67, Quantitative Finance Research Centre, University of Technology, Sydney.
  4. Ralf Becker & Walter Enders & A. Stan Hurn, 2001. "Testing for Time Dependence in Parameters," Research Paper Series 58, Quantitative Finance Research Centre, University of Technology, Sydney.
  5. 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.
  6. Feng Zhu, 2005. "The fragility of the Phillips curve: A bumpy ride in the frequency domain," BIS Working Papers 183, Bank for International Settlements.
  7. 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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