Monitoring Structural Changes in Regression with Long Memory Processes

Wen-Jen Tsay

No 09-A009, IEAS Working Paper : academic research from Institute of Economics, Academia Sinica, Taipei, Taiwan

Abstract: This paper extends the °uctuation monitoring test of Chu et al. (1996) to the regression model involving stationary or nonstationary long memory regressors and errors by proposing two innovative on-line detectors. In spite of the general framework covered by these detectors, their computational cost is extremely mild in that they do not depend on the bootstrap procedure and do not involve the di±cult issues of choosing a kernel function, a bandwidth parameter, or an autoregressive lag length for the long-run variance estimation. Moreover, under suitable regularity conditions and the null hypothesis of no structural change, the asymptotic distributions of these two detectors are identical to that of the corresponding counterpart considered in Chu et al. (1996) where they consider the short memory processes

Keywords: Structural stability; Long memory process; Fluctuation monitoring (search for similar items in EconPapers)
Pages: 27 pages
Date: 2009-08
New Economics Papers: this item is included in nep-ecm and nep-ets
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.econ.sinica.edu.tw/~econ/pdfPaper/09-A009.pdf (application/pdf)

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:sin:wpaper:09-a009

Access Statistics for this paper

More papers in IEAS Working Paper : academic research from Institute of Economics, Academia Sinica, Taipei, Taiwan Contact information at EDIRC.
Bibliographic data for series maintained by HsiaoyunLiu ().