Testing parameter constancy in models with infinite variance errors

Authors
Chen, MY Kuan, CM
Citation
My. Chen et Cm. Kuan, Testing parameter constancy in models with infinite variance errors, ECON LETT, 72(1), 2001, pp. 11-18
Citations number
15
Categorie Soggetti
Economics
Journal title
ECONOMICS LETTERS
ISSN journal
01651765 → ACNP
Volume
72
Issue
1
Year of publication
2001
Pages
11 - 18
Database
ISI
SICI code
0165-1765(200107)72:1<11:TPCIMW>2.0.ZU;2-7
Abstract
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 adv antages comparing to the tests based on the OLS estimates. (C) 2001 Elsevie r Science B.V. All rights reserved.