Testing parameter constancy in models with infinite variance errors
Journal
Economics Letters
Journal Issue
72
Pages
11-18
Date Issued
2001
Author(s)
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 advantages comparing to the tests based on the OLS estimates. © Elsevier Science B.V.
Type
journal article