Monitoring Structural Change in Dynamic Econometric Models

dc.contributor.authorHornik, Kurtde
dc.contributor.authorKleiber, Christiande
dc.contributor.authorLeisch, Friedrichde
dc.contributor.authorZeileis, Achimde
dc.date.accessioned2004-12-06T18:43:50Z
dc.date.available2004-12-06T18:43:50Z
dc.date.issued2002de
dc.description.abstractThe classical approach to testing for structural change employs retrospective tests using a historical data set of a given length. Here we consider a wide array of fluctuation-type tests in a monitoring situation – given a history period for which a regression relationship is known to be stable, we test whether incoming data are consistent with the previously established relationship. Procedures based on estimates of the regression coefficients are extended in three directions: we introduce (a) procedures based on OLS residuals, (b) rescaled statistics and (c) alternative asymptotic boundaries. Compared to the existing tests our extensions offer better power against certain alternatives, improved size in finite samples for dynamic models and ease of computation respectively. We apply our methods to two data sets, German M1 money demand and U.S. labor productivity.en
dc.format.extent149229 bytes
dc.format.extent720064 bytes
dc.format.mimetypeapplication/pdf
dc.format.mimetypeapplication/postscript
dc.identifier.urihttp://hdl.handle.net/2003/5070
dc.identifier.urihttp://dx.doi.org/10.17877/DE290R-12196
dc.language.isoende
dc.publisherUniversitätsbibliothek Dortmundde
dc.subjectonline monitoringen
dc.subjectCUSUMen
dc.subjectMOSUMen
dc.subjectmoving estimatesen
dc.subjectrecursive estimatesen
dc.subject.ddc310de
dc.titleMonitoring Structural Change in Dynamic Econometric Modelsen
dc.typeTextde
dc.type.publicationtypereporten
dcterms.accessRightsopen access

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