Monitoring structural change in dynamic econometric models

The classical approach to testing for structural change employs retrospective tests using a historical data set of a given length. Here we consider a wide array of fluctuation-type tests in a monitoring situation - given a history period for which a regression relationship is known to be stable, we test whether incoming data are consistent with the previously established relationship....

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Year of publication:	2002-03-01
Authors:	Zeileis, Achim ; Leisch, Friedrich ; Kleiber, Christian ; Hornik, Kurt
Subject:	Finanzierung \| finance

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Extent:	229376 bytes 18 p. application/pdf
Series:	Wirtschaftsuniversität Wien - Elektronische Publikationen Report Series SFB Adaptive Information Systems and Modelling in Economics and Management Science ; 2002, 64
Type of publication:	Book / Working Paper
Language:	English
Classification:	C22 - Time-Series Models ; C52 - Model Evaluation and Testing ; Business data processing. General ; Applications ; Individual Working Papers, Preprints ; No country specification
Source:	USB Cologne (business full texts)

Persistent link: https://www.econbiz.de/10005841595