Monitoring time-varying parameters in an autoregression

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.

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Year of publication:	1999-01-01
Authors:	Carsoule, F. ; Franses, Ph.H.B.F.
Institutions:	Erasmus University Rotterdam, Econometric Institute
Subject:	structural change \| autoregression \| misspecification test

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Extent:	application/pdf
Series:	Econometric Institute Report. - ISSN 1566-7294.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series RePEc:dgr:eureir Number EI 9937/A
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008584815