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An analysis of tests for regression coefficient stability

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  • Shively, Thomas S.
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    File URL: http://www.sciencedirect.com/science/article/B6VC0-4582FR3-K/2/28dd6fb71184432d36c91ba7bdc13520
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Econometrics.

    Volume (Year): 39 (1988)
    Issue (Month): 3 (November)
    Pages: 367-386

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    Handle: RePEc:eee:econom:v:39:y:1988:i:3:p:367-386

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    Web page: http://www.elsevier.com/locate/jeconom

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    Cited by:
    1. Lin, Chien-Fu & Teräsvirta, Timo, 1995. "Testing Parameter Constancy in Linear Models against Stochastic Stationary Parameters," Working Paper Series in Economics and Finance 54, Stockholm School of Economics.
    2. Elliott, Graham & Mueller, Ulrich K., 2004. "Optimally Testing General Breaking Processes in Linear Time Series Models," University of California at San Diego, Economics Working Paper Series qt58n33447, Department of Economics, UC San Diego.
    3. Shively, Philip A., 2000. "Stationary time-varying risk premia in forward foreign exchange rates," Journal of International Money and Finance, Elsevier, vol. 19(2), pages 273-288, April.
    4. Nektarios Aslanidis & Anastasios Xepapadeas, 2004. "Smooth ‘inverted-V-shaped’ & smooth ‘N-shaped’ pollution-income paths," Working Papers 0405, University of Crete, Department of Economics.
    5. Philip A. Shively, 2001. "Trend-stationary GNP: evidence from a new exact pointwise most powerful invariant unit root test," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(4), pages 537-551.
    6. Berg, Nathan, 2004. "No-decision classification: an alternative to testing for statistical significance," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, vol. 33(5), pages 631-650, November.
    7. Paye, Bradley S. & Timmermann, Allan, 2006. "Instability of return prediction models," Journal of Empirical Finance, Elsevier, vol. 13(3), pages 274-315, June.

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