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Recursive stability analysis of linear regression relationships: An exploratory methodology

Citations

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Cited by:

  1. Evangelos Karanikas & George Leledakis & Elias Tzavalis, 2006. "Structural Changes in Expected Stock Returns Relationships: Evidence from ASE," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 33(9‐10), pages 1610-1628, November.
  2. Deng, Ai & Perron, Pierre, 2008. "A non-local perspective on the power properties of the CUSUM and CUSUM of squares tests for structural change," Journal of Econometrics, Elsevier, vol. 142(1), pages 212-240, January.
  3. Emilian DOBRESCU, 2017. "Modelling an Emergent Economy and Parameter Instability Problem," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 5-28, June.
  4. repec:ebl:ecbull:v:9:y:2005:i:8:p:1-11 is not listed on IDEAS
  5. Psaradakis, Zacharias & Sola, Martin, 1996. "On the power of tests for superexogeneity and structural invariance," Journal of Econometrics, Elsevier, vol. 72(1-2), pages 151-175.
  6. Bent Nielsen & Andrew Whitby, 2015. "A Joint Chow Test for Structural Instability," Econometrics, MDPI, vol. 3(1), pages 1-31, March.
  7. Allen Sinai & Houston H. Stokes, 1989. "Money Balances in the Production Function: A Retrospective Look," Eastern Economic Journal, Eastern Economic Association, vol. 15(4), pages 349-363, Oct-Dec.
  8. Wohlgenant, Michael K. & Mullen, John D., 1987. "Modeling The Farm-Retail Price Spread For Beef," Western Journal of Agricultural Economics, Western Agricultural Economics Association, vol. 12(2), pages 1-7, December.
  9. Pouliot, William, 2016. "Robust tests for change in intercept and slope in linear regression models with application to manager performance in the mutual fund industry," Economic Modelling, Elsevier, vol. 58(C), pages 523-534.
  10. Jim Granato & William West, 1994. "Words And Deeds: Symbolic Politics And Decision Making At The Federal Reserve," Economics and Politics, Wiley Blackwell, vol. 6(3), pages 233-255, November.
  11. Perron, Pierre & Yabu, Tomoyoshi, 2009. "Estimating deterministic trends with an integrated or stationary noise component," Journal of Econometrics, Elsevier, vol. 151(1), pages 56-69, July.
  12. Haluk Erlat, 1991. "An Ex Post Statistical Assessment of the Central Bank Quarterly Econometric Model of Turkey," Discussion Papers 9108, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
  13. Neil R. Ericsson & David F. Hendry & Hong-Anh Tran, 1993. "Cointegration, seasonality, encompassing, and the demand for money in the United Kingdom," International Finance Discussion Papers 457, Board of Governors of the Federal Reserve System (U.S.).
  14. Ericsson, Neil R. & Campos, Julia & Tran, Hong-Anh, 1990. "Pc-Give and David Hendry'S Econometric Methodology," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 10(1), April.
  15. Dufour, Jean-Marie & Kiviet, Jan F., 1996. "Exact tests for structural change in first-order dynamic models," Journal of Econometrics, Elsevier, vol. 70(1), pages 39-68, January.
  16. Dufour, Jean-Marie & Ghysels, Eric, 1996. "Editors' introduction recent developments in the econometrics of structural change," Journal of Econometrics, Elsevier, vol. 70(1), pages 1-8, January.
  17. Pollock, D. S. G., 2003. "Recursive estimation in econometrics," Computational Statistics & Data Analysis, Elsevier, vol. 44(1-2), pages 37-75, October.
  18. Ericsson, Neil R., 1992. "Parameter constancy, mean square forecast errors, and measuring forecast performance: An exposition, extensions, and illustration," Journal of Policy Modeling, Elsevier, vol. 14(4), pages 465-495, August.
  19. Baltagi, Badi H. & Hidalgo, Javier & Li, Qi, 1996. "A nonparametric test for poolability using panel data," Journal of Econometrics, Elsevier, vol. 75(2), pages 345-367, December.
  20. Evangelos Karanikas & George Leledakis & Elias Tzavalis, 2006. "Structural Changes in Expected Stock Returns Relationships: Evidence from ASE," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 33(9‐10), pages 1610-1628, November.
  21. Oliner, Stephen D. & Rudebusch, Glenn D. & Sichel, Daniel, 1996. "The Lucas critique revisited assessing the stability of empirical Euler equations for investment," Journal of Econometrics, Elsevier, vol. 70(1), pages 291-316, January.
  22. John Schroeter & Aju Fenn, 2005. "Structural change in cigarette demand: cusum tests using panel data," Economics Bulletin, AccessEcon, vol. 9(8), pages 1-11.
  23. J. Andrew Coutts & Terence Mills & Jennifer Roberts, 1997. "Time series and cross-section parameter stability in the market model: the implications for event studies," The European Journal of Finance, Taylor & Francis Journals, vol. 3(3), pages 243-259.
  24. Nielsen, Bent & Sohkanen, Jouni S., 2011. "Asymptotic Behavior Of The Cusum Of Squares Test Under Stochastic And Deterministic Time Trends," Econometric Theory, Cambridge University Press, vol. 27(4), pages 913-927, August.
  25. Lin, Chien-Fu Jeff & Terasvirta, Timo, 1999. "Testing parameter constancy in linear models against stochastic stationary parameters," Journal of Econometrics, Elsevier, vol. 90(2), pages 193-213, June.
  26. Oleg Glouchakov, 2006. "Joint change point estimation in regression coeffcients and variances of the errors of a linear model," Working Papers 2006_3, York University, Department of Economics.
  27. Henrik Hansen & Søren Johansen, 1999. "Some tests for parameter constancy in cointegrated VAR-models," Econometrics Journal, Royal Economic Society, vol. 2(2), pages 306-333.
  28. Stephen Pollock, 2002. "Recursive Estimation in Econometrics," Working Papers 462, Queen Mary University of London, School of Economics and Finance.
  29. de Brouwer, Gordon & Ericsson, Neil R, 1998. "Modeling Inflation in Australia," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(4), pages 433-449, October.
  30. Grillenzoni, Carlo, 1996. "Testing for causality in real time," Journal of Econometrics, Elsevier, vol. 73(2), pages 355-376, August.
  31. Bent Nielsen & Andrew Whitby, 2015. "A Joint Chow Test for Structural Instability," Econometrics, MDPI, Open Access Journal, vol. 3(1), pages 156, March.
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