Statistical offices try to match item models when measuring inflation between two periods. For product areas with a high turnover of differentiated models, however, the use of hedonic indexes is more appropriate since they include the prices and quantities of unmatched new and old models. The...

This paper introduces tests for cointegration breakdown that may occur over a relatively short time period, such as at the end of the sample. The breakdown may be due to a shift in the cointegrating vector or due to a shift in the errors from being I(0) to being I(1). Tests are introduced based...

In this paper, we concentrate ourselves on Inclán and Tiao (1994)'s cusum test in regression models with ARCH errors. The ARCH and GARCH models have long been popular in financial time series analysis. For a general review, see Gouriéroux (1997).Inclán and Tiao (1994)'s cusum test was...

This paper addresses the question of whether a conventional approach to cointegration is applicaple to the case where changes are allowed in the parameters for the short term dynamics. We reparametrise a vector autoregressive model such that the short-run parameters exhibiting changes at known...

This paper introduces tests for cointegration breakdown that may occur over a relatively short time period, such as at the end of the sample. The breakdown may be due to a shift in the cointegrating vector or due to a shift in the errors from being I(0) to being I(1). Tests are introduced based...

This paper considers tests for structural instability of short duration, such as at the end of the sample. The key feature of the testing problem is that the number, m, of observations in the period of potential change is relatively small -- possibly as small as one. The well-known F test of...

A new method for detecting the parameter changes in generalized autoregressive heteroskedasticity GARCH (1,1) model is proposed. In the proposed method, time series observations are divided into several segments and a GARCH (1,1) model is fitted to each segment. The goodness-of-fit of the global...