Testing for parameter instability in predictive regression models
We consider tests for structural change, based on the SupF and Cramer-von-Mises type statistics of Andrews (1993) and Nyblom (1989), respectively, in the slope and/or intercept parameters of a predictive regression model where the predictors display strong persistence. The SupF type tests are motiva...
| Main Authors: | , , , |
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| Format: | Article |
| Published: |
Elsevier
2018
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| Subjects: | |
| Online Access: | https://eprints.nottingham.ac.uk/49033/ |