Tests of Parameters Instability: Theoretical Study and Empirical Applications on Two Types of Models (ARMA Model and Market Model)

Tests of Parameters Instability: Theoretical Study and Empirical Applications on Two Types of Models (ARMA Model and Market Model)

Show other versions (1)

This paper considers tests of parameters instability and structural change with known, unknown or multiple breakpoints. The results apply to a wide class of parametric models that are suitable for estimation by strong rules for detecting the number of breaks in a time series. For that, we use Chow,...

Full description

Bibliographic Details
Main Author: Sahbi FARHANI
Format: Article
Language:English
Published: EconJournals 2012-01-01
Series:International Journal of Economics and Financial Issues
Subjects:
Tests of parameters instability
Structural change
Breakpoints
ARMA model
SLRM.
Online Access:http://www.econjournals.com/index.php/ijefi/article/view/173/pdf

Internet

http://www.econjournals.com/index.php/ijefi/article/view/173/pdf

Similar Items