TESTING FOR PARAMETER INSTABILITY IN LINEAR-MODELS

被引：347

作者：

HANSEN, BE

机构：

[1] University of Rochester, Rochester

来源：

JOURNAL OF POLICY MODELING | 1992年 / 14卷 / 04期

基金：

美国国家科学基金会;

关键词：

D O I：

10.1016/0161-8938(92)90019-9

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

Simple tests for parameter instability are presented and discussed. These tests have locally optimal power and do not require a priori knowledge of "the breakpoint." Two empirical examples are presented to illustrate the use of the tests. The first examines whether an AR(1) model for annual U.S. output growth rates has remained stable over 1889-1987. The second examines the stability of an error correction model for an aggregate life cycle model of consumption.

引用

页码：517 / 533

页数：17

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HENDRY DF, 1991, AM ECON REV, V81, P8