A note on monitoring time-varying parameters in an autoregression

DOI10.1007/s001840200198zbMath1433.62246OpenAlexW2161030512MaRDI QIDQ745379

Philip Hans Franses, Frédéric Carsoule

Publication date: 14 October 2015

Published in: Metrika (Search for Journal in Brave)

Full work available at URL: http://repub.eur.nl/pub/13317

zbMATH Keywords

structural changeautoregressionmisspecification test

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Sequential statistical analysis (62L10)

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Cites Work

• Monitoring Structural Change
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