Econ 427 lecture 16 slides Stability Tests Byron Gangnes

Recursive Estimation If our model is: We estimate it starting with a small sample and increasing the sample length by one period each time. This gives us a time series of each parameter: Byron Gangnes

Recursive Residuals Can calculate the time series of recursive residuals: The standard errors of these residuals are not the same at each point (why not?) Byron Gangnes

Standardized recursive resids Byron Gangnes

CUSUM test Can compare to tabulate values (EViews does) Byron Gangnes

A Model with Constant Params Byron Gangnes

A Model with Non-Constant Params Byron Gangnes