J. Zietz et Dk. Pemberton, PARAMETER INSTABILITY IN AGGREGATE US IMPORT DEMAND-FUNCTIONS, Journal of international money and finance, 12(6), 1993, pp. 654-667
The paper examines parameter stability in aggregate US import demand f
unctions for the time period 1972-90. We identify in particular whethe
r parameter stability depends upon the definitions used to represent t
he dependent and independent variables. Significant instability is fou
nd for 1974/75 in all models tested. For the 1975-90 period, parameter
stability depends on the definition of the relative price term employ
ed in the model. Equations which exclude computer imports tend to have
fewer stability problems than non-oil import demand models. We also f
ind that the most stable models generate the best out-of-sample foreca
sts.