A note on monitoring time-varying parameters in an autoregression

Metrika

Volumn 57, Issue 1, 2003, Pages 51-62

  Carsoule, Frédéric ^a   Franses, Philip Hans ^a  

^a ERASMUS UNIVERSITY ROTTERDAM   (Netherlands)

Author keywords

Autoregression; Misspecification test; Structural change

Indexed keywords

EID: 17444369328     PISSN: 00261335     EISSN: None     Source Type: Journal    
DOI: 10.1007/s001840200198     Document Type: Article

References (4)

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