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Tests of Parameters Instability: Theoretical Study and Empirical Analysis on Two Types of Models (ARMA Model and Market Model)

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Author Info

  • Sahbi FARHANI

    (Faculty of Economic Sciences and Management of Tunis, University of Tunis El Manar, Tunisia.)

Abstract

This paper considers tests of parameters instability and structural change with known, unknown or multiple breakpoints. The results apply to a wide class of parametric models that are suitable for estimation by strong rules for detecting the number of breaks in a time series. For that, we use Chow, CUSUM, CUSUM of squares, Wald, likelihood ratio and Lagrange multiplier tests. Each test implicitly uses an estimate of a change point. We conclude with an empirical analysis on two different models (ARMA model and simple linear regression model “SLRM”).

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File URL: http://www.econjournals.com/index.php/ijefi/article/download/173/pdf
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File URL: http://www.econjournals.com/index.php/ijefi/article/view/173/pdf
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Bibliographic Info

Article provided by Econjournals in its journal International Journal of Economics and Financial Issues.

Volume (Year): 2 (2012)
Issue (Month): 3 ()
Pages: 246-266

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Handle: RePEc:eco:journ1:2012-03-3

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Web page: http://www.econjournals.com

Related research

Keywords: Tests of parameters instability; Structural change; Breakpoints; ARMA model; SLRM;

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References

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  1. Jushan Bai & Pierre Perron, 2003. "Computation and analysis of multiple structural change models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(1), pages 1-22.
  2. Krämer, Walter & Ploberger, Werner & Alt, Raimund, 1987. "A modification of the CUSUM test in the linear regression model with lagged dependent variables," Hannover Economic Papers (HEP) dp-104, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
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Citations

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Cited by:
  1. Sahbi Farhani & Anissa Chaibi & Christophe Rault, 2014. "A study of CO2 emissions, output, energy consumption, and trade," Working Papers 2014-056, Department of Research, Ipag Business School.
  2. Farhani, Sahbi & Shahbaz, Muhammad, 2013. "The Role of Natural Gas Consumption and Trade in Tunisia’s Output," MPRA Paper 48083, University Library of Munich, Germany, revised 05 Jun 2013.
  3. repec:ipg:wpaper:201415 is not listed on IDEAS
  4. Farhani, Sahbi & Chaibi, Anissa & Rault, Christophe, 2014. "CO2 emissions, output, energy consumption, and trade in Tunisia," Economic Modelling, Elsevier, vol. 38(C), pages 426-434.

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