Monitoring time-varying parameters in an autoregression

Frédéric Carsoule and Philip Hans Franses

No EI 9937/A, Econometric Institute Research Papers from Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute

Abstract: We develop a sequential testing approach for a structural change in the parameters of an autoregression, which amounts to a monitoring procedure with a controlled asymptotic size as we repeat 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.

Keywords: autoregression; misspecification test; structural change (search for similar items in EconPapers)
Date: 1999-01-01
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Persistent link: https://EconPapers.repec.org/RePEc:ems:eureir:1606

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