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Sequential Testing with Uniformly Distributed Size

Author

Listed:
  • Anatolyev Stanislav

    (CERGE-EI, Politických vězňů 7, 11121Prague 1, Czech Republic)

  • Kosenok Grigory

    (New Economic School, Moscow, Russia)

Abstract

Sequential procedures for the testing for structural stability do not provide enough guidance on the shape of boundaries that are used to decide on acceptance or rejection, requiring only that the overall size of the test is asymptotically controlled. We introduce and motivate a reasonable criterion for the shape of boundaries which requires that the test size be uniformly distributed over the testing period. Under this criterion, we numerically construct boundaries for the most popular sequential tests that are characterized by a test statistic behaving asymptotically either as a Wiener process or Brownian bridge. We handle this problem both in the context of retrospecting a historical sample and in the context of monitoring newly arriving data. We tabulate the boundaries by fitting them to certain flexible yet parsimonious functional forms. Interesting patterns emerge in an illustrative application of sequential tests to the Phillips curve model.

Suggested Citation

  • Anatolyev Stanislav & Kosenok Grigory, 2018. "Sequential Testing with Uniformly Distributed Size," Journal of Time Series Econometrics, De Gruyter, vol. 10(2), pages 1-22, July.
    • Handle: RePEc:bpj:jtsmet:v:10:y:2018:i:2:p:22:n:2
    DOI: 10.1515/jtse-2017-0002
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    Cited by:

    1. Josua Gösmann & Tobias Kley & Holger Dette, 2021. "A new approach for open‐end sequential change point monitoring," Journal of Time Series Analysis, Wiley Blackwell, vol. 42(1), pages 63-84, January.
    2. Sven Otto & Jorg Breitung, 2020. "Backward CUSUM for Testing and Monitoring Structural Change with an Application to COVID-19 Pandemic Data," Papers 2003.02682, arXiv.org, revised Mar 2022.
    3. Otto, Sven & Breitung, Jörg, 2020. "Backward CUSUM for Testing and Monitoring Structural Change," VfS Annual Conference 2020 (Virtual Conference): Gender Economics 224533, Verein für Socialpolitik / German Economic Association.

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