Stability tests under system estimation

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cel
Posts: 35
Joined: Fri Jan 20, 2012 7:39 am

Stability tests under system estimation

Postby cel » Wed Aug 08, 2012 3:50 am

I've been using various non-linear system estimation estimators in eviews, but the estimation output doesn't appear to support parameter stability diagnostics. Am i right in that? If so, is there anything i can do to somehow look at parameter stability under non-linear systems estimation. Thanks.

EViews Gareth
Fe ddaethom, fe welon, fe amcangyfrifon
Posts: 13604
Joined: Tue Sep 16, 2008 5:38 pm

Re: Stability tests under system estimation

Postby EViews Gareth » Wed Aug 08, 2012 6:53 am

You are correct in that there is nothing built in.

EViews Glenn
EViews Developer
Posts: 2682
Joined: Wed Oct 15, 2008 9:17 am

Re: Stability tests under system estimation

Postby EViews Glenn » Wed Aug 08, 2012 9:42 am

An informal stability diagnostic would be to estimate for increasing sample sizes or rolling windows. If you search for rolling estimation in the forum you'll find lots of discussion.


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