Testing for Parameter Instability and Structural Change in Persistent Predictive Regressions
收藏NBER2021-03-01 更新2025-01-04 收录
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https://www.nber.org/papers/w28570
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资源简介：
This paper develops parameter instability and structural change tests within predictive regressions for economic systems governed by persistent vector autoregressive dynamics. Specifically, in a setting where all or a subset of the variables may be fractionally integrated and the predictive
提供机构：
美国国家经济研究局
创建时间：
2021-03-01
