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Stability tests under system estimation
Posted: Wed Aug 08, 2012 3:50 am
by cel
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.
Re: Stability tests under system estimation
Posted: Wed Aug 08, 2012 6:53 am
by EViews Gareth
You are correct in that there is nothing built in.
Re: Stability tests under system estimation
Posted: Wed Aug 08, 2012 9:42 am
by EViews Glenn
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.