Franses, Philip Hans; Carsoule, Carsoule, F. - Faculteit der Economische Wetenschappen, Erasmus … - 1999
In this paper we propose a sequential testing approach for a structural change in the variance of a time series, which amounts to a procedure with a controlled asymptotic size as we repeat the test. Our approach builds on that taken in Chu, Stinchcombe and White (1996) for structural change in...
