Metrika

, Volume 57, Issue 1, pp 51–62

A note on monitoring time-varying parameters in an autoregression

  • Frédéric Carsoule
  • Philip Hans Franses
Article

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 change autoregression misspecification test 

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References

  1. Chu CSJ, Stinchcombe M, White H (1996) Monitoring structural change. Econometrica 64:1045–1065CrossRefMATHGoogle Scholar
  2. Fuller WA (1996) Introduction to statistical time series, 2nd edition. New York: WileyMATHGoogle Scholar
  3. Jacod J, Shiryaev AN (1987) Limit theorems for stochastic processes. Berlin: Springer VerlagCrossRefMATHGoogle Scholar
  4. Watson MW (1994) Business-cycle duration and post war stabilization for the US economy. American Economic Review 84:24–46Google Scholar

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)

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