Document Zbl 0514.62117

Recursive stability analysis of linear regression relationships. An exploratory methodology. (English) Zbl 0514.62117

J. Econom. 19, 31-76 (1982).

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MSC:

62P20	Applications of statistics to economics
62J05	Linear regression; mixed models
62M10	Time series, auto-correlation, regression, etc. in statistics (GARCH)
62M20	Inference from stochastic processes and prediction

Keywords:

structural change; model validation; prediction; stability of linear regression relationships; exploratory analysis; recursive estimation; significance tests; recursive residuals

Citations:

Zbl 0321.62063

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References:

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