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Stability Tests for Linear Regression Models

Author

Listed:
  • Slutskin , Lev

    (Institute of Economics of the Russian Academy of Sciences (IERAS))

Abstract

A number of common tests for stability of a classical linear regression model are considered in the paper. The case where a point of structural change is not known in advance has been given a special treatment

Suggested Citation

  • Slutskin , Lev, 2007. "Stability Tests for Linear Regression Models," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 6(2), pages 126-135.
    • Handle: RePEc:ris:apltrx:0059
    as

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    References listed on IDEAS

    as
    1. Hansen, Bruce E., 1992. "Testing for parameter instability in linear models," Journal of Policy Modeling, Elsevier, vol. 14(4), pages 517-533, August.
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    More about this item

    Keywords

    nested and non-nested models; recursive tests; stability; structural change;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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