Testing for parameter instability in predictive regression models

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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...

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Bibliographic Details
Main Authors:	Gorgiev, Iliyan, Harvey, David I., Leybourne, Stephen J., Taylor, A.M. Robert
Format:	Article
Published:	Elsevier 2018
Subjects:	Predictive regression; Persistence; Parameter stability tests; Fixed regressor wild bootstrap; Conditional distribution
Online Access:	https://eprints.nottingham.ac.uk/49033/

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