A Unified Approach to Structural Change Tests Based on ML Scores, F Statistics, and OLS Residuals
Three classes of structural change tests (or tests for parameter instability) that have been receiving much attention in both the statistics and the econometrics communities but have been developed in rather loosely connected lines of research are unified by embedding them into the framework of generalized M-fluctuation tests (Zeileis and Hornik, 2003). These classes are tests based on maximum likelihood scores (including the Nyblom-Hansen test), on F statistics (sup F, ave F, exp F tests), and on OLS residuals (OLS-based CUSUM and MOSUM tests). We show that (representatives from) these classes are special cases of the generalized M-fluctuation tests, based on the same functional central limit theorem but employing different functionals for capturing excessive fluctuations. After embedding these tests into the same framework and thus understanding the relationship between these procedures for testing in historical samples, it is shown how the tests can also be extended to a monitoring situation. This is achieved by establishing a general M-fluctuation monitoring procedure and then applying the different functionals corresponding to monitoring with ML scores, F statistics, and OLS residuals. In particular, an extension of the sup F test to a monitoring scenario is suggested and illustrated on a real-world data set.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 24 (2005)
Issue (Month): 4 ()
|Contact details of provider:|| Web page: http://www.tandfonline.com/LECR20|
|Order Information:||Web: http://www.tandfonline.com/pricing/journal/LECR20|
When requesting a correction, please mention this item's handle: RePEc:taf:emetrv:v:24:y:2005:i:4:p:445-466. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ()
If references are entirely missing, you can add them using this form.