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Monitoring structural change in dynamic econometric models

Zeileis, Achim and Leisch, Friedrich and Kleiber, Christian and Hornik, Kurt. (2005) Monitoring structural change in dynamic econometric models. Journal of Applied Econometrics, Vol. 20. S. 99-121.

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Official URL: http://edoc.unibas.ch/dok/A5252907

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Abstract

The classical approach to testing for structural change employs retrospective tests using a historical data set of a given length. Here we consider a wide array of fluctuation-type tests in a monitoring situation - given a history period for which a regression relationship is known to be stable, we test whether incoming data are consistent with the previously established relationship. Procedures based on estimates of the regression coefficients are extended in three directions: we introduce (a) procedures based on OLS residuals, (b) rescaled statistics and (c) alternative asymptotic boundaries. Compared to the existing tests our extensions offer ease of computation, improved size in finite samples for dynamic models and better power against certain alternatives, respectively. We apply our methods to three data sets, German M1 money demand, US labour productivity and S&P 500 stock returns.
Faculties and Departments:06 Faculty of Business and Economics > Departement Wirtschaftswissenschaften > Professuren Wirtschaftswissenschaften > Ökonometrie und Statistik (Kleiber)
UniBasel Contributors:Kleiber, Christian
Item Type:Article, refereed
Bibsysno:Link to catalogue
Publisher:Wiley
ISSN:0883-7252
Note:Publication type according to Uni Basel Research Database: Journal article
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Last Modified:22 Mar 2012 14:31
Deposited On:22 Mar 2012 14:18

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