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Testing for Regression Coefficient Stability with a Stationary AR(1) Alternative

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  • Watson, Mark W
  • Engle, Robert F

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Bibliographic Info

Article provided by MIT Press in its journal Review of Economics & Statistics.

Volume (Year): 67 (1985)
Issue (Month): 2 (May)
Pages: 341-46

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Handle: RePEc:tpr:restat:v:67:y:1985:i:2:p:341-46

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Web page: http://mitpress.mit.edu/journals/

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Web: http://mitpress.mit.edu/journal-home.tcl?issn=00346535

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Cited by:
  1. Brown, Jane P. & Song, Haiyan & McGillivray, Alan, 1997. "Forecasting UK house prices: A time varying coefficient approach," Economic Modelling, Elsevier, Elsevier, vol. 14(4), pages 529-548, October.
  2. Lin, Chien-Fu & Teräsvirta, Timo, 1995. "Testing Parameter Constancy in Linear Models against Stochastic Stationary Parameters," Working Paper Series in Economics and Finance, Stockholm School of Economics 54, Stockholm School of Economics.
  3. Khalaf, Lynda & Kichian, Maral, 2005. "Exact tests of the stability of the Phillips curve: the Canadian case," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 49(2), pages 445-460, April.
  4. Timo Teräsvirta & Yukai Yang, 2014. "Specification, Estimation and Evaluation of Vector Smooth Transition Autoregressive Models with Applications," CREATES Research Papers, School of Economics and Management, University of Aarhus 2014-08, School of Economics and Management, University of Aarhus.
  5. Shively, Philip A., 2000. "Stationary time-varying risk premia in forward foreign exchange rates," Journal of International Money and Finance, Elsevier, Elsevier, vol. 19(2), pages 273-288, April.
  6. M. Matilla-Garcia & P. Perez & B. Sanz, 2006. "Testing for parameter stability: the Spanish consumption function," Applied Economics Letters, Taylor & Francis Journals, Taylor & Francis Journals, vol. 13(7), pages 445-448.
  7. Aslanidis, Nektarios & Xepapadeas, Anastasios, 2006. "Smooth transition pollution-income paths," Ecological Economics, Elsevier, Elsevier, vol. 57(2), pages 182-189, May.
  8. Charles Engel & James D. Hamilton, 1989. "Long Swings in the Exchange Rate: Are they in the Data and Do Markets Know It?," NBER Working Papers 3165, National Bureau of Economic Research, Inc.

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