Testing parameter constancy in models with infinite variance errors

被引：2

作者：

Chen, MY ^{[1
]}

Kuan, CM

机构：

[1] Natl Chung Cheng Univ, Dept Econ, Chiayi 621, Taiwan

[2] Acad Sinica, Inst Econ, Taipei 115, Taiwan

来源：

ECONOMICS LETTERS | 2001年 / 72卷 / 01期

关键词：

least absolute deviation estimates; moving estimates; parameter constancy; recursive estimates; stable law;

D O I：

10.1016/S0165-1765(01)00413-X

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

In this paper we propose to base parameter-constancy tests on recursive and moving least absolute deviation (LAD) estimates. Our simulations show that the moving-LAD-estimates test is robust to stable errors and has power advantages comparing to the tests based on the OLS estimates. (C) 2001 Elsevier Science B.V. All rights reserved.

引用

页码：11 / 18

页数：8

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