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Testing for parameter instability in linear models

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  1. Testing for Structural Change
    by Mahalanobis in Mahalanobis on 2006-02-12 06:18:00

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Cited by:

  1. William Miles, 2021. "Scottish home prices: compatible with Euro membership?," European Journal of Comparative Economics, Cattaneo University (LIUC), vol. 18(1), pages 3-22, June.
  2. Lumsdaine, Robin L. & Ng, Serena, 1999. "Testing for ARCH in the presence of a possibly misspecified conditional mean," Journal of Econometrics, Elsevier, vol. 93(2), pages 257-279, December.
  3. Achim Zeileis, 2005. "A Unified Approach to Structural Change Tests Based on ML Scores, F Statistics, and OLS Residuals," Econometric Reviews, Taylor & Francis Journals, vol. 24(4), pages 445-466.
  4. Barnett, William A. & Chen, Guo, 2015. "Bifurcation of Macroeconometric Models and Robustness of Dynamical Inferences," Foundations and Trends(R) in Econometrics, now publishers, vol. 8(1-2), pages 1-144, September.
  5. Meier Carsten-Patrick, 2001. "Trend und Zyklus im Bruttoinlandsprodukt der Bundesrepublik Deutschland. Eine Anmerkung / Trends and Cycles in Germany’s Real Gross Domestic Product. A Note," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 221(2), pages 168-178, April.
  6. Jason Allen & Robert Amano & David P. Byrne & Allan W. Gregory, 2009. "Canadian city housing prices and urban market segmentation," Canadian Journal of Economics, Canadian Economics Association, vol. 42(3), pages 1132-1149, August.
  7. Christopher Adam & David Cobham & Eric Girardin, 2005. "Monetary Frameworks and Institutional Constraints: UK Monetary Policy Reaction Functions, 1985–2003," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 67(4), pages 497-516, August.
  8. Massimiliano Marcellino, "undated". "Further Results on MSFE Encompassing," Working Papers 143, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  9. Jonathan McCarthy & Charles Steindel, 1997. "National and regional factors in the metropolitan economy," Economic Policy Review, Federal Reserve Bank of New York, vol. 3(Feb), pages 5-19.
  10. C. Wernerheim & M. Waples, 2013. "Demand patterns and Canada’s trade in services," International Economics and Economic Policy, Springer, vol. 10(2), pages 159-181, June.
  11. Al Rousan, Sahel & Sbia, Rashid & Tas, Bedri Kamil Onur, 2018. "A dynamic network analysis of the world oil market: Analysis of OPEC and non-OPEC members," Energy Economics, Elsevier, vol. 75(C), pages 28-41.
  12. Steinar Holden, 1998. "Wage Drift and the Relevance of Centralised Wage Setting," Scandinavian Journal of Economics, Wiley Blackwell, vol. 100(4), pages 711-731, December.
  13. Gruener Hans Peter & Hayo Bernd & Hefeker Carsten, 2009. "Unions, Wage Setting and Monetary Policy Uncertainty," The B.E. Journal of Macroeconomics, De Gruyter, vol. 9(1), pages 1-25, October.
  14. Luigi Ermini & David F. Hendry, 2008. "Log Income vs. Linear Income: An Application of the Encompassing Principle," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 70(s1), pages 807-827, December.
  15. Marc Poitras, 2004. "The Impact of Macroeconomic Announcements on Stock Prices: In Search of State Dependence," Southern Economic Journal, John Wiley & Sons, vol. 70(3), pages 549-565, January.
  16. Qizilbash, M., 1994. "Decisions and moral character," Discussion Paper Series In Economics And Econometrics 9417, Economics Division, School of Social Sciences, University of Southampton.
  17. Arns, Jürgen & Bhattacharya, Kaushik, 2005. "Modelling Aggregate Consumption Growth with Time-Varying Parameters," Bonn Econ Discussion Papers 15/2005, University of Bonn, Bonn Graduate School of Economics (BGSE).
  18. Eksi, Ozan & Tas, Bedri Kamil Onur, 2017. "Unconventional monetary policy and the stock market’s reaction to Federal Reserve policy actions," The North American Journal of Economics and Finance, Elsevier, vol. 40(C), pages 136-147.
  19. David Greasley & Les Oxley, 2010. "Cliometrics And Time Series Econometrics: Some Theory And Applications," Journal of Economic Surveys, Wiley Blackwell, vol. 24(5), pages 970-1042, December.
  20. Duc Khuong Nguyen & Mondher Bellalah, 2007. "Testing for Structural Breaks and Dynamic Changes in Emerging Market Volatility," Working Papers 02, Development and Policies Research Center (DEPOCEN), Vietnam.
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  25. Jorah Ramlan & Elsadig Musa Ahmed, 2009. "Information and Communication Technology (ICT) and human capital management trend in Malaysia's economic development," Applied Economics Letters, Taylor & Francis Journals, vol. 16(18), pages 1881-1886.
  26. . Luigi Ermini & David Hendry, "undated". "Log income versus linear income: an application of the encompassing principl," Economics Papers W6, Economics Group, Nuffield College, University of Oxford.
  27. Sheng, Lin Wen & Uddin, Gazi Salah & Sen, Ding & Hao, Zhu Shi, 2024. "The asymmetric volatility spillover across Shanghai, Hong Kong and the U.S. stock markets: A regime weighted measure and its forecast inference," International Review of Financial Analysis, Elsevier, vol. 91(C).
  28. Luis Fernando Melo & Martha Misas, 1998. "Análisis del comportamiento de la inflación trimestral en Colombia bajo cambios de régimen: Una evidencia a través del modelo "Switching" de Hamilton," Revista de Economía del Rosario, Universidad del Rosario, November.
  29. Erdenebat Bataa & Denise R. Osborn & Marianne Sensier & Dick van Dijk, 2014. "Identifying Changes in Mean, Seasonality, Persistence and Volatility for G7 and Euro Area Inflation," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 76(3), pages 360-388, June.
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  33. Yunus Aksoy & Miguel A. Leon-Ledesma, 2004. "Interest Rates and Output in the Long Run," Money Macro and Finance (MMF) Research Group Conference 2004 92, Money Macro and Finance Research Group.
  34. Michael Funke & Jorg Rahn, 2004. "By How Much Is The Chinese Renminbi Undervalued?," Money Macro and Finance (MMF) Research Group Conference 2004 40, Money Macro and Finance Research Group.
  35. Luca Benati, 2003. "Evolving Post-World War II U.K. Economic Performance," Computing in Economics and Finance 2003 171, Society for Computational Economics.
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  38. Kia, Amir, 2006. "Deficits, debt financing, monetary policy and inflation in developing countries: Internal or external factors?: Evidence from Iran," Journal of Asian Economics, Elsevier, vol. 17(5), pages 879-903, November.
  39. Gbaguidi DAVID, 2011. "Expectations Impact On The Effectiveness Of The Inflation-Real Activity Trade-Off," Theoretical and Practical Research in the Economic Fields, ASERS Publishing, vol. 2(2), pages 141-181.
  40. Maria Soledad Martinez Peria, 2002. "The Impact of Banking Crises on Money Demand and Price Stability," IMF Staff Papers, Palgrave Macmillan, vol. 49(3), pages 1-1.
  41. Bernd Hayo & Hans Peter Gruner & Carsten Hefeker, 2004. "Monetary policy uncertainty and unionized labour markets," Money Macro and Finance (MMF) Research Group Conference 2003 42, Money Macro and Finance Research Group.
  42. Mikio Ito & Kiyotaka Maeda & Akihiko Noda, 2018. "The futures premium and rice market efficiency in prewar Japan," Economic History Review, Economic History Society, vol. 71(3), pages 909-937, August.
  43. Guido Ascari & Timo Haber, 2019. "Sticky prices and the transmission mechanism of monetary policy: A minimal test of New Keynesian models," Economics Series Working Papers 869, University of Oxford, Department of Economics.
  44. Makram El-Shagi & Sebastian Giesen, 2013. "Testing for Structural Breaks at Unknown Time: A Steeplechase," Computational Economics, Springer;Society for Computational Economics, vol. 41(1), pages 101-123, January.
  45. Carstensen, Kai, 2004. "Is European Money Demand Still Stable?," Kiel Working Papers 1179, Kiel Institute for the World Economy (IfW Kiel).
  46. Matteo Lanzafame, 2010. "The nature of regional unemployment in Italy," Empirical Economics, Springer, vol. 39(3), pages 877-895, December.
  47. Thomas A. Garrett & Mark W. Nichols, 2019. "The Behavior Of Casino Gaming Revenue Over The Business Cycle Considering Alternative Measures Of “Income”," Contemporary Economic Policy, Western Economic Association International, vol. 37(2), pages 274-296, April.
  48. Jan Gottschalk & Willem Van Zandweghe, 2003. "Do Bivariate SVAR Models with Long-Run Identifying Restrictions Yield Reliable Results? An Investigation into the Case of Germany," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 139(I), pages 55-81, March.
  49. David Fielding & Anja Shortland, 2005. "How does political violence affect confidence in a local currency? Evidence from Egypt," Journal of International Development, John Wiley & Sons, Ltd., vol. 17(7), pages 841-866.
  50. Bahmani-Oskooee, Mohsen & Rhee, Hyun-Jae, 1997. "Structural change in import demand behavior, the Korean experience: a reexamination," Journal of Policy Modeling, Elsevier, vol. 19(2), pages 187-193, April.
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  53. Carrillo Maldonado, Paul & Ramírez-Álvarez, José, 2020. "Indicator of the efficiency of value added tax and income tax collection in Ecuador," Revista CEPAL, Naciones Unidas Comisión Económica para América Latina y el Caribe (CEPAL), August.
  54. Benoit Bellone, 2005. "Classical Estimation of Multivariate Markov-Switching Models using MSVARlib," Econometrics 0508017, University Library of Munich, Germany.
  55. Kia, Amir, 2008. "Fiscal sustainability in emerging countries: Evidence from Iran and Turkey," Journal of Policy Modeling, Elsevier, vol. 30(6), pages 957-972.
  56. Eickmeier, Sandra & Hofmann, Boris, 2013. "Monetary Policy, Housing Booms, And Financial (Im)Balances," Macroeconomic Dynamics, Cambridge University Press, vol. 17(4), pages 830-860, June.
  57. Amor, Thouraya Hadj & Nouira, Ridha & Rault, Christophe & Sova, Anamaria Diana, 2023. "Real exchange rate misalignments and economic growth in Tunisia: New evidence from a threshold analysis of asymmetric adjustments," The Quarterly Review of Economics and Finance, Elsevier, vol. 88(C), pages 215-227.
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  59. Funke, Michael, 2001. "Money demand in Euroland," Journal of International Money and Finance, Elsevier, vol. 20(5), pages 701-713, October.
  60. Emmanuel De Veirman, 2009. "What Makes the Output-Inflation Trade-Off Change? The Absence of Accelerating Deflation in Japan," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 41(6), pages 1117-1140, September.
  61. BAAK, SaangJoon, 2008. "The bilateral real exchange rates and trade between China and the U.S," China Economic Review, Elsevier, vol. 19(2), pages 117-127, June.
  62. Benati, Luca, 2007. "Drift and breaks in labor productivity," Journal of Economic Dynamics and Control, Elsevier, vol. 31(8), pages 2847-2877, August.
  63. Neil R. Ericsson, 2001. "Forecast uncertainty in economic modeling," International Finance Discussion Papers 697, Board of Governors of the Federal Reserve System (U.S.).
  64. Catherine Araujo Bonjean & Jean-François Brun, 2008. "Pouvoir de marché dans la filière cacao : l'hypothèse de Prebisch – Singer revisitée," Economie & Prévision, La Documentation Française, vol. 0(5), pages 133-144.
  65. Fabio Busetti & Michele Caivano & Davide Delle Monache, 2021. "Domestic and Global Determinants of Inflation: Evidence from Expectile Regression," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 83(4), pages 982-1001, August.
  66. Dahl, Roy Endre & Ogland, Atle & Osmundsen, Petter & Sikveland, Marius, 2011. "Are oil and natural gas going separate ways in the UK? Cointegration tests with Structural shifts," UiS Working Papers in Economics and Finance 2011/5, University of Stavanger.
  67. Lee, Chien Chiang & Chang, Chun Ping, 2012. "The Demand for Money in China: A Reassessment Using the Bounds Testing Approach," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 74-94, March.
  68. Oryani, Bahareh & Koo, Yoonmo & Rezania, Shahabaldin & Shafiee, Afsaneh, 2021. "Investigating the asymmetric impact of energy consumption on reshaping future energy policy and economic growth in Iran using extended Cobb-Douglas production function," Energy, Elsevier, vol. 216(C).
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  70. Georgiev, Iliyan & Harvey, David I. & Leybourne, Stephen J. & Taylor, A.M. Robert, 2018. "Testing for parameter instability in predictive regression models," Journal of Econometrics, Elsevier, vol. 204(1), pages 101-118.
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  72. Zhao, Yanping & de Haan, Jakob & Scholtens, Bert & Yang, Haizhen, 2013. "The relationship between the Renminbi future spot return and the forward discount rate," Journal of International Money and Finance, Elsevier, vol. 32(C), pages 156-168.
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