A new test for structural stability in the linear regression model
✍ Scribed by Werner Ploberger; Walter Krämer; Karl Kontrus
- Publisher
- Elsevier Science
- Year
- 1989
- Tongue
- English
- Weight
- 560 KB
- Volume
- 40
- Category
- Article
- ISSN
- 0304-4076
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## Abstract Consider the two linear regression models of __Y__~__ij__~ on __X__~__ij__~, namely __Y__~__ij__~ = β~__io__~ + β~__ij__~, __X__~__ij__~ + __E__~__ij__~ = 1, 2,…, __n__~__i__~, __i__ = 1, 2, where __E__~__ij__~ are assumed to be normally distributed with zero mean and common unknown var
In this paper we propose a new approach for estimating the unknown parameter in the stochastic linear regressive model with stationary ergodic sequence of covariates. Under mild conditions on the joint distribution of the covariate and the error, the estimator constructed is shown to be strongly con