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

DOI10.1016/J.ECONLET.2009.08.013zbMath1181.62139OpenAlexW2023392049MaRDI QIDQ1046290

Siyun Park, Sangyeol Lee

Publication date: 21 December 2009

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2009.08.013

zbMATH Keywords

strong approximationchange point testmonitoring testnonstationary regressors

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (2)

Monitoring parameter changes for random coefficient autoregressive models ⋮ Test for parameter changes in generalized random coefficient autoregressive model

Cites Work

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• Almost sure invariance principles for partial sums of mixing B-valued random variables
• The CUSUM test based on least squares residuals in regressions with integrated variables
• Estimation in dynamic regression with an integrated process
• The CUSUM of squares test for the stability of regression models with non-stationary regressors
• MONITORING STRUCTURAL CHANGES WITH THE GENERALIZED FLUCTUATION TEST
• Monitoring Distributional Changes in Autoregressive Models
• The Cusum Test with Ols Residuals
• The Cusum Test for Parameter Change in Regression Models with ARCH Errors
• The Cusum Test for Parameter Change in Time Series Models
• Monitoring Structural Change
• SEQUENTIAL CHANGE-POINT DETECTION IN GARCH(p,q) MODELS

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