Moving estimates test with time varying bandwidth
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References listed on IDEAS
- Sangyeol Lee & Okyoung Na & Seongryong Na, 2003. "On the cusum of squares test for variance change in nonstationary and nonparametric time series models," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 55(3), pages 467-485, September.
- Lee, Sangyeol & Na, Okyoung, 2005. "Test for parameter change in stochastic processes based on conditional least-squares estimator," Journal of Multivariate Analysis, Elsevier, vol. 93(2), pages 375-393, April.
- 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.
- Chu, Chia-Shang James & Hornik, Kurt & Kuan, Chung-Ming, 1995. "The Moving-Estimates Test for Parameter Stability," Econometric Theory, Cambridge University Press, vol. 11(04), pages 699-720, August.
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- Bos, Charles S. & Koopman, Siem Jan & Ooms, Marius, 2014. "Long memory with stochastic variance model: A recursive analysis for US inflation," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 144-157.
- Charles S. Bos & Siem Jan Koopman & Marius Ooms, 2007.
"Long memory modelling of inflation with stochastic variance and structural breaks,"
CREATES Research Papers
2007-44, Department of Economics and Business Economics, Aarhus University.
- C.S. Bos & S.J. Koopman & M. Ooms, 2007. "Long Memory Modelling of Inflation with Stochastic Variance and Structural Breaks," Tinbergen Institute Discussion Papers 07-099/4, Tinbergen Institute.
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KeywordsTest for parameter change Moving estimates test Cusum test Time series Strong mixing processes;
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