The monitoring test for the stability of regression models with nonstationary regressors

In this paper, we consider the monitoring process in time series regression models with nonstationary regressors. To this end, we propose a monitoring process based on a modified square of residuals. Simulation results are provided for illustration.

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Year of publication:	2009
Authors:	Lee, Sangyeol ; Park, Siyun
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 105.2009, 3, p. 250-252
Publisher:	Elsevier
Keywords:	Change point test Monitoring test Nonstationary regressors Strong approximation

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10008474080