The monitoring test for the stability of regression models with nonstationary regressors

Sangyeol Lee and Siyun Park

Economics Letters, 2009, vol. 105, issue 3, 250-252

Abstract: In this paper, we consider the monitoring process in time series regression models with nonstationary regressors. To this end, we propose a monitoring process based on a modified square of residuals. Simulation results are provided for illustration.

Keywords: Change; point; test; Monitoring; test; Nonstationary; regressors; Strong; approximation (search for similar items in EconPapers)
Date: 2009
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0165-1765(09)00260-2
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:105:y:2009:i:3:p:250-252

Access Statistics for this article

Economics Letters is currently edited by Economics Letters Editorial Office

More articles in Economics Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().