IDEAS home Printed from https://ideas.repec.org/a/tpr/restat/v67y1985i2p341-46.html
   My bibliography  Save this article

Testing for Regression Coefficient Stability with a Stationary AR(1) Alternative

Author

Listed:
  • Watson, Mark W
  • Engle, Robert F

Abstract

No abstract is available for this item.

Suggested Citation

  • Watson, Mark W & Engle, Robert F, 1985. "Testing for Regression Coefficient Stability with a Stationary AR(1) Alternative," The Review of Economics and Statistics, MIT Press, vol. 67(2), pages 341-346, May.
    • Handle: RePEc:tpr:restat:v:67:y:1985:i:2:p:341-46
    as

    Download full text from publisher

    File URL: http://links.jstor.org/sici?sici=0034-6535%28198505%2967%3A2%3C341%3ATFRCSW%3E2.0.CO%3B2-E&origin=repec
    File Function: full text
    Download Restriction: Access to full text is restricted to JSTOR subscribers. See http://www.jstor.org for details.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. de Jong, F.C.J.M. & Kemna, A. & Kloek, T., 1992. "A contribution to event study methodology with an application to the Dutch stock market," Other publications TiSEM 7805a40a-1e85-4621-ac05-0, Tilburg University, School of Economics and Management.
    2. Jean-Marie Dufour & Richard Luger, 2017. "Identification-robust moment-based tests for Markov switching in autoregressive models," Econometric Reviews, Taylor & Francis Journals, vol. 36(6-9), pages 713-727, October.
    3. Belton Jr., Willie J. & Cebula, Richard J., 1998. "Evolution of Federal Reserve Credibility," Journal of Policy Modeling, Elsevier, vol. 20(1), pages 33-43, February.
    4. Brown, Jane P. & Song, Haiyan & McGillivray, Alan, 1997. "Forecasting UK house prices: A time varying coefficient approach," Economic Modelling, Elsevier, vol. 14(4), pages 529-548, October.
    5. Khalaf, Lynda & Kichian, Maral, 2005. "Exact tests of the stability of the Phillips curve: the Canadian case," Computational Statistics & Data Analysis, Elsevier, vol. 49(2), pages 445-460, April.
    6. M. Matilla-Garcia & P. Perez & B. Sanz, 2006. "Testing for parameter stability: the Spanish consumption function," Applied Economics Letters, Taylor & Francis Journals, vol. 13(7), pages 445-448.
    7. Timo Teräsvirta & Yukai Yang, 2014. "Specification, Estimation and Evaluation of Vector Smooth Transition Autoregressive Models with Applications," CREATES Research Papers 2014-08, Department of Economics and Business Economics, Aarhus University.
    8. Aslanidis, Nektarios & Xepapadeas, Anastasios, 2006. "Smooth transition pollution-income paths," Ecological Economics, Elsevier, vol. 57(2), pages 182-189, May.
    9. Koskela, Erkki & Virén, Matti, 1990. "Monetary policy reaction functions and saving-investment correlations: Some cross-country evidence," Bank of Finland Research Discussion Papers 11/1990, Bank of Finland.
    10. Charles Engel & James D. Hamilton, 1989. "Long Swings in the Exchange Rate: Are they in the Data and Do Markets Know It?," NBER Working Papers 3165, National Bureau of Economic Research, Inc.
    11. Bollerslev, Tim & Engle, Robert F. & Nelson, Daniel B., 1986. "Arch models," Handbook of Econometrics, in: R. F. Engle & D. McFadden (ed.), Handbook of Econometrics, edition 1, volume 4, chapter 49, pages 2959-3038, Elsevier.
    12. 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.
    13. Terasvirta, Timo, 2006. "Forecasting economic variables with nonlinear models," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 1, chapter 8, pages 413-457, Elsevier.
    14. Koskela, Erkki & Virén, Matti, 1990. "Monetary policy reaction functions and saving-investment correlations: Some cross-country evidence," Research Discussion Papers 11/1990, Bank of Finland.
    15. repec:zbw:bofrdp:1990_011 is not listed on IDEAS
    16. Andrea Bucci, 2024. "A sequential test procedure for the choice of the number of regimes in multivariate nonlinear models," Papers 2406.02152, arXiv.org.
    17. Shively, Philip A., 2000. "Stationary time-varying risk premia in forward foreign exchange rates," Journal of International Money and Finance, Elsevier, vol. 19(2), pages 273-288, April.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:tpr:restat:v:67:y:1985:i:2:p:341-46. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Kelly McDougall (email available below). General contact details of provider: https://direct.mit.edu/journals .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.