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- Title
PARAMETER INSTABILITY IN MUTUAL FUND PORTFOLIOS: A SHIFTING REGIMES TEST.
- Authors
Bauer Jr., Richard J.; Hays, Patrick A.; Upton, David E.
- Abstract
This study uses a shifting regimes approach to indicate whether instability in the regression parameters of the characteristic line for mutual fund portfolios is present to any great degree. The cumulative sum of squared recursive residuals test, developed by Brown, Durbin, and Evans, is used to test the stationarity of regression model parameters. The results are compared to those obtained with the partition regression approach used by Miller and Gressis. Both studies imply that substantial instability in the regression parameters exists and that this nonstationarity can be modeled as a distinct shift between discrete intervals or regimes of relative parameter instability.
- Subjects
MUTUAL funds; REGRESSION analysis
- Publication
Quarterly Journal of Business & Economics, 1987, Vol 26, Issue 1, p50
- ISSN
0747-5535
- Publication type
Article