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A note on monitoring time-varying parameters in an autoregression

Frédéric Carsoule and Philip Hans Franses

Metrika: International Journal for Theoretical and Applied Statistics, 2003, vol. 57, issue 1, 51-62

Abstract: We develop a sequential testing approach for a structural change in the parameters of an autoregression, which amounts to an adaptation of the monitoring procedure, outlined in Chu, Stichcombe and White (1996). This procedure has a controlled asymptotic size as one repeats the test. Our method can be used as a general misspecification test. We apply our method to monthly US industrial production in order to investigate if its autoregressive behavior and/or its innovation variance have changed during the twentieth century. Copyright Springer-Verlag 2003

Keywords: Structural change; autoregression; misspecification test (search for similar items in EconPapers)
Date: 2003
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