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The monitoring test for the stability of regression models with nonstationary regressors

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  • Lee, Sangyeol
  • Park, Siyun

Abstract

In this paper, we consider the monitoring process in time series regression models with nonstationary regressors. To this end, we propose a monitoring process based on a modified square of residuals. Simulation results are provided for illustration.

Suggested Citation

  • Lee, Sangyeol & Park, Siyun, 2009. "The monitoring test for the stability of regression models with nonstationary regressors," Economics Letters, Elsevier, vol. 105(3), pages 250-252, December.
  • Handle: RePEc:eee:ecolet:v:105:y:2009:i:3:p:250-252
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    References listed on IDEAS

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    1. Berkes, Istv n & Gombay, Edit & Horv th, Lajos & Kokoszka, Piotr, 2004. "SEQUENTIAL CHANGE-POINT DETECTION IN GARCH(p,q) MODELS," Econometric Theory, Cambridge University Press, vol. 20(06), pages 1140-1167, December.
    2. Ploberger, Werner & Kramer, Walter, 1992. "The CUSUM Test with OLS Residuals," Econometrica, Econometric Society, vol. 60(2), pages 271-285, March.
    3. Leisch, Friedrich & Hornik, Kurt & Kuan, Chung-Ming, 2000. "Monitoring Structural Changes With The Generalized Fluctuation Test," Econometric Theory, Cambridge University Press, vol. 16(06), pages 835-854, December.
    4. Sangyeol Lee & Jeongcheol Ha & Okyoung Na & Seongryong Na, 2003. "The Cusum Test for Parameter Change in Time Series Models," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 30(4), pages 781-796.
    5. Wright, J. H., 1993. "The CUSUM test based on least squares residuals in regressions with integrated variables," Economics Letters, Elsevier, vol. 41(4), pages 353-358.
    6. Chu, Chia-Shang James & Stinchcombe, Maxwell & White, Halbert, 1996. "Monitoring Structural Change," Econometrica, Econometric Society, vol. 64(5), pages 1045-1065, September.
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