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Citations for "The Moving-Estimates Test for Parameter Stability"

by Chu, Chia-Shang James & Hornik, Kurt & Kuan, Chung-Ming

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  1. Achim Zeileis & Friedrich Leisch & Kurt Hornik & Christian Kleiber, . "strucchange: An R Package for Testing for Structural Change in Linear Regression Models," Journal of Statistical Software, American Statistical Association, vol. 7(i02).
  2. Kuan, Chung-Ming, 1998. "Tests for changes in models with a polynomial trend," Journal of Econometrics, Elsevier, vol. 84(1), pages 75-91, May.
  3. Zeileis, Achim & Kleiber, Christian & Krämer, Walter & Hornik, Kurt, 2002. "Testing and dating of structural changes in practice," Technical Reports 2002,39, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
  4. Mehmet Balcilar & Rangan Gupta & Stephen M. Miller, 2012. "Housing and the Great Depression," Working papers 2012-47, University of Connecticut, Department of Economics.
  5. Rossi, Barbara & Giacomini, Raffaella, 2006. "Detecting and Predicting Forecast Breakdowns," Working Papers 06-01, Duke University, Department of Economics.
  6. Jin Seo Cho & Halbert White, 2009. "Generalized Runs Test for the IID Hypothesis," Discussion Paper Series 0913, Institute of Economic Research, Korea University.
  7. Luis Fernando Melo & Martha Misas A., . "Modelos Estructurales de Inflación en Colombia: Estimación a Través de Mínimos Cuadrados Flexibles," Borradores de Economia 283, Banco de la Republica de Colombia.
  8. Filippo Altissimo & Valentina Corradi, 2000. "Strong Rules for Detecting the Number of Breaks in a Time Series," Econometric Society World Congress 2000 Contributed Papers 0574, Econometric Society.
  9. Na, Okyoung & Lee, Sangyeol, 2007. "Moving estimates test with time varying bandwidth," Journal of Multivariate Analysis, Elsevier, vol. 98(7), pages 1356-1375, August.
  10. Kurt Hornik & Friedrich Leisch & Christian Kleiber & Achim Zeileis, 2005. "Monitoring structural change in dynamic econometric models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(1), pages 99-121.
  11. Stephen Pollock, 2002. "Recursive Estimation in Econometrics," Working Papers 462, Queen Mary, University of London, School of Economics and Finance.
  12. Stanislav Anatolyev, 2006. "Nonparametric retrospection and monitoring of predictability of financial returns," Working Papers w0071, Center for Economic and Financial Research (CEFIR).
  13. Altissimo, Filippo & Corradi, Valentina, 2003. "Strong rules for detecting the number of breaks in a time series," Journal of Econometrics, Elsevier, vol. 117(2), pages 207-244, December.
  14. Chen, Gongmeng & Choi, Yoon K. & Zhou, Yong, 2005. "Nonparametric estimation of structural change points in volatility models for time series," Journal of Econometrics, Elsevier, vol. 126(1), pages 79-114, May.
  15. Raphael Markellos & Terence Mills, 2003. "Asset pricing dynamics," The European Journal of Finance, Taylor & Francis Journals, vol. 9(6), pages 533-556.
  16. Stanislav Anatolyev & Grigory Kosenok, 2011. "Sequential Testing with Uniformly Distributed Size," Working Papers w0123, Center for Economic and Financial Research (CEFIR).
  17. Aue, Alexander & Horváth, Lajos & Reimherr, Matthew L., 2009. "Delay times of sequential procedures for multiple time series regression models," Journal of Econometrics, Elsevier, vol. 149(2), pages 174-190, April.