Neglecting Parameter Changes in Autoregressive Models
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References listed on IDEAS
- Perron, Pierre, 1989.
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Econometric Society, vol. 57(6), pages 1361-1401, November.
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- Eric Hillebrand, 2005. "Mean Reversion Expectations and the 1987 Stock Market Crash: An Empirical Investigation," Finance 0501015, EconWPA.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2004-09-30 (All new papers)
- NEP-ECM-2004-09-30 (Econometrics)
- NEP-ETS-2004-09-30 (Econometric Time Series)
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