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Monitoring time-varying parameters in an autoregression

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Author Info
F. Carsoule ()
P.H.B.F. Franses () (FEW-Econometrie en besliskunde)

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Abstract

We develop a sequential testing approach for a structural change in the parameters of an autoregression, which amounts to a monitoring procedure with a controlled asymptotic size as we repeat the test. Our method can be used as a general misspecification test. We apply our method to monthly US industrial production in order to investigate if its autoregressive behavior and/or its innovation variance have changed during the twentieth century.

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File URL: http://www.eur.nl/WebDOC/doc/econometrie/feweco19991013121124.ps
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Publisher Info
Paper provided by Erasmus University Rotterdam, Econometric Institute in its series Econometric Institute Report with number 165.

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Date of creation: 1999
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Handle: RePEc:dgr:eureir:1999165

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Keywords: structural change autoregression misspecification test

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  1. Chu, Chia-Shang James & Stinchcombe, Maxwell & White, Halbert, 1996. "Monitoring Structural Change," Econometrica, Econometric Society, vol. 64(5), pages 1045-65, September. [Downloadable!] (restricted)
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