Testing for parameter instability in linear models
AbstractComputes Hansen's stability test statistics (for individual coefficients, variance and jointly). Hansen(1992), "Parameter Instability in Linear Models", Journal of Policy Modeling, vol. 14, 517-533.
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Policy Modeling.
Volume (Year): 14 (1992)
Issue (Month): 4 (August)
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Web page: http://www.elsevier.com/locate/inca/505735
Other versions of this item:
- Tom Doan, . "STABTEST: RATS procedure to perform Hansen's stability test for OLS," Statistical Software Components RTS00199, Boston College Department of Economics.
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