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Department of Economics

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Browsing Department of Economics by Author "Boon, Tan Hui"

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    An Elementary Method for Detecting and Modeling Regression Parameter Variation Across Frequences With an Application to Testing the Permanent Income Hypothesis
    Boon, Tan Hui; Ashley, Richard A. (Virginia Tech, 1997-03)
    A simple technique for directly testing the parameters of a time series regression model for instability across frequencies is presented. The method can be easily implemented in the time domain, so parameter instability across frequency bands can be conveniently detected and modeled in conjunction with other econometric features of the problem at hand, such as simultaneity, cointegration, missing observations, cross-equation restrictions, etc. The usefulness of the new technique is illustrated with an application to a cointegrated consumption-income regression model, yielding a straightforward test of the permanent income hypothesis.