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Testing for Parameter Constancy in Linear Regressions: An Empirical Distribution Function Approach

Testing for Parameter Constancy in Linear Regressions: An Empirical Distribution Function Approach

This paper proposes some tests for parameter constancy in linear regression models with possible infinite variance.Both dynamic and trending regressors are allowed.The tests are based on the empirical distribution function of estimated residuals and are shown to have non-trivial local power against a wide range of alternatives.Within a certain class …