Metrika

, Volume 57, Issue 1, pp 51–62

A note on monitoring time-varying parameters in an autoregression

  • Frédéric Carsoule
  • Philip Hans Franses
Article

DOI: 10.1007/s001840200198

Cite this article as:
Carsoule, F. & Franses, P.H. Metrika (2003) 57: 51. doi:10.1007/s001840200198

Abstract

We develop a sequential testing approach for a structural change in the parameters of an autoregression, which amounts to an adaptation of the monitoring procedure, outlined in Chu, Stichcombe and White (1996). This procedure has a controlled asymptotic size as one repeats the test. Our method can be used as a general misspecification test. We apply our method to monthly US industrial production in order to investigate if its autoregressive behavior and/or its innovation variance have changed during the twentieth century.

Key words

Structural changeautoregressionmisspecification test

Copyright information

© Springer-Verlag 2003

Authors and Affiliations

  • Frédéric Carsoule
    • 1
  • Philip Hans Franses
    • 2
  1. 1.Tinbergen InstituteErasmus University RotterdamRotterdamThe Netherlands
  2. 2.Econometric Institute, office H11-34Erasmus University RotterdamRotterdamThe Netherlands (e-mail: franses@few.eur.nl)