Monitoring Parameter Constancy with Endogenous Regressors

DOI10.1111/JTSA.12236zbMath1377.62067OpenAlexW2269679681MaRDI QIDQ5357990

Eiji Kurozumi

Publication date: 18 September 2017

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/jtsa.12236

zbMATH Keywords

instrumental variablePhillips curvestructural changeCUSUM test

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Parametric hypothesis testing (62F03) Asymptotic properties of parametric tests (62F05)

Related Items (3)

Sequential testing with uniformly distributed size ⋮ A monitoring procedure for detecting structural breaks in factor copula models ⋮ Monitoring parameter changes in models with a trend

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