Browsing The Economic and Social Review, Vol. 24, No. 1, October, 1992 by Subject "modeling"
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Testing and estimation in unstable dynamic models: A case study
(Economic & Social StudiesDublin, 1992)This paper discusses testing for parameter instability and estimation of time-varying parameters in the context of the Engle-Granger (1987) procedure. It reviews several developments in testing, in particular the new test ...