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Two Methods for Examining the Stability of Regression Coefficients

 

作者: Kenneth Garbade,  

 

期刊: Journal of the American Statistical Association  （Taylor Available online 1977）
卷期: Volume 72, issue 357  

页码: 54-63

 

ISSN:0162-1459

 

年代: 1977

 

DOI:10.1080/01621459.1977.10479906

 

出版商: Taylor & Francis Group

 

关键词: Kalman filter;Recursive residuals;Parameter stability;Cusum test;Cusum of squares test;Demand for money

 

数据来源: Taylor

 

摘要:

This paper investigates the power of two methodologies, the tests of Brown, Durbin, and Evans [2] and variable parameter regression, to detect several varieties of instability in the coefficients of a linear regression model. The study reported by Khan [10] on the stability of the demand for money is replicated with variable parameter regression, and his results are in part questioned and in part sharpened.

 

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