IDEAS home Printed from https://ideas.repec.org/p/crs/wpaper/2004-46.html
   My bibliography  Save this paper

Testing the Global Stability of a Linear Model

Author

Listed:
  • Philippe Barbe

    (Crest)

  • Patrice Bertail

    (Crest)

Abstract

We propose a test for assessing the stability of a temporaleconometric linear model. The test is based on subsampling ideas moreprecisely to the consistency of the least square estimator whose behavior isstudied on subintervals over time. Our test allows to detect breakpoints onthe boundaries under reasonable assumptions. Under the null hypothesis,we derive the asymptotic distribution of some simple criteria compatiblewith the linearity of the model and study them by simulations. Wealso present a diagnostic plot which helps in determining the nature ofthe nonlinearities (outliers, structural changes, polynomial links) of theunderlying model.

Suggested Citation

  • Philippe Barbe & Patrice Bertail, 2004. "Testing the Global Stability of a Linear Model," Working Papers 2004-46, Center for Research in Economics and Statistics.
    • Handle: RePEc:crs:wpaper:2004-46
    as

    Download full text from publisher

    File URL: http://crest.science/RePEc/wpstorage/2004-46.pdf
    File Function: Crest working paper version
    Download Restriction: no
    ---><---

    Citations

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


    Cited by:

    1. Patrice Bertail & Emmanuelle Gautherat & Hugo Harari-Kermadec, 2005. "Empirical Phi-Discrepancies and Quasi-Empirical Likelihood: Exponential Bounds," Working Papers 2005-34, Center for Research in Economics and Statistics.

    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:crs:wpaper:2004-46. 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: Secretariat General (email available below). General contact details of provider: https://edirc.repec.org/data/crestfr.html .

    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.