Stability tests under system estimation
Moderators: EViews Gareth, EViews Moderator
Stability tests under system estimation
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.
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EViews Gareth
- Fe ddaethom, fe welon, fe amcangyfrifon
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Re: Stability tests under system estimation
You are correct in that there is nothing built in.
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EViews Glenn
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Re: Stability tests under system estimation
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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