메뉴 건너뛰기




Volumn 20, Issue 1, 2005, Pages 99-121

Monitoring structural change in dynamic econometric models

Author keywords

[No Author keywords available]

Indexed keywords


EID: 20744434427     PISSN: 08837252     EISSN: None     Source Type: Journal    
DOI: 10.1002/jae.776     Document Type: Article
Times cited : (160)

References (25)
  • 1
    • 0001162133 scopus 로고
    • Tests for parameter instability and structural change with unknown change point
    • Andrews DWK. 1993. Tests for parameter instability and structural change with unknown change point. Econometrica 61: 821-856.
    • (1993) Econometrica , vol.61 , pp. 821-856
    • Andrews, D.W.K.1
  • 2
    • 0242498734 scopus 로고    scopus 로고
    • End-of-sample instability tests
    • Andrews DWK. 2003. End-of-sample instability tests. Econometrica 71: 1661-1694.
    • (2003) Econometrica , vol.71 , pp. 1661-1694
    • Andrews, D.W.K.1
  • 3
    • 0000209591 scopus 로고
    • Optimal tests when a nuisance parameter is present only under the alternative
    • Andrews DWK, Ploberger W. 1994. Optimal tests when a nuisance parameter is present only under the alternative. Econometrica 62: 1383-1414.
    • (1994) Econometrica , vol.62 , pp. 1383-1414
    • Andrews, D.W.K.1    Ploberger, W.2
  • 4
    • 0031325058 scopus 로고    scopus 로고
    • Estimation of a change point in multiple regression models
    • Bai J. 1997. Estimation of a change point in multiple regression models. Review of Economics and Statistics 79: 551-563.
    • (1997) Review of Economics and Statistics , vol.79 , pp. 551-563
    • Bai, J.1
  • 6
    • 17444369328 scopus 로고    scopus 로고
    • A note on monitoring time-varying parameters in an autoregression
    • Carsoule F, Franses PH. 2003. A note on monitoring time-varying parameters in an autoregression. Metrika 57: 51-62.
    • (2003) Metrika , vol.57 , pp. 51-62
    • Carsoule, F.1    Franses, P.H.2
  • 7
    • 84974151871 scopus 로고
    • The moving-estimates test for parameter stability
    • Chu CSJ, Hornik K, Kuan CM. 1995. The moving-estimates test for parameter stability. Econometric Theory 11: 669-720.
    • (1995) Econometric Theory , vol.11 , pp. 669-720
    • Chu, C.S.J.1    Hornik, K.2    Kuan, C.M.3
  • 11
    • 20744450229 scopus 로고    scopus 로고
    • Testing for a new economy in the 1990s
    • Fair RC. 2004. Testing for a new economy in the 1990s. Business Economics, 39: 43-53.
    • (2004) Business Economics , vol.39 , pp. 43-53
    • Fair, R.C.1
  • 12
    • 0001462579 scopus 로고
    • Testing for parameter instability in linear models
    • Hansen BE. 1992. Testing for parameter instability in linear models. Journal of Policy Modeling 14: 517-533.
    • (1992) Journal of Policy Modeling , vol.14 , pp. 517-533
    • Hansen, B.E.1
  • 13
    • 0011638735 scopus 로고    scopus 로고
    • The new econometrics of structural change: Dating breaks in U.S. labor productivity
    • Hansen BE. 2001. The new econometrics of structural change: dating breaks in U.S. labor productivity. Journal of Economic Perspectives 15: 117-128.
    • (2001) Journal of Economic Perspectives , vol.15 , pp. 117-128
    • Hansen, B.E.1
  • 14
    • 0000060371 scopus 로고
    • Testing for structural change in dynamic models
    • Krämer W, Ploberger W, Alt R. 1988. Testing for structural change in dynamic models. Econometrica 56: 1355-1369.
    • (1988) Econometrica , vol.56 , pp. 1355-1369
    • Krämer, W.1    Ploberger, W.2    Alt, R.3
  • 15
    • 38149143422 scopus 로고
    • Implementing the fluctuation and moving-estimates tests in dynamic econometric models
    • Kuan CM, Chen MY. 1994. Implementing the fluctuation and moving-estimates tests in dynamic econometric models. Economics Letters 44: 235-239.
    • (1994) Economics Letters , vol.44 , pp. 235-239
    • Kuan, C.M.1    Chen, M.Y.2
  • 16
    • 0000006664 scopus 로고
    • The generalized fluctuation test: A unifying view
    • Kuan CM, Hornik K. 1995. The generalized fluctuation test: a unifying view. Econometric Reviews 14: 135-161.
    • (1995) Econometric Reviews , vol.14 , pp. 135-161
    • Kuan, C.M.1    Hornik, K.2
  • 17
    • 0034362971 scopus 로고    scopus 로고
    • Monitoring structural changes with the generalized fluctuation test
    • Leisch F, Hornik K, Kuan CM. 2000. Monitoring structural changes with the generalized fluctuation test. Econometric Theory 16: 835-854.
    • (2000) Econometric Theory , vol.16 , pp. 835-854
    • Leisch, F.1    Hornik, K.2    Kuan, C.M.3
  • 18
  • 19
    • 0000173572 scopus 로고
    • The CUSUM test with OLS residuals
    • Ploberger W, Krämer W. 1992. The CUSUM test with OLS residuals. Econometrica 60: 271-285.
    • (1992) Econometrica , vol.60 , pp. 271-285
    • Ploberger, W.1    Krämer, W.2
  • 20
    • 38249026516 scopus 로고
    • A new test for structural stability in the linear regression model
    • Ploberger W, Krämer W, Kontrus K. 1989. A new test for structural stability in the linear regression model. Journal of Econometrics 40: 307-318.
    • (1989) Journal of Econometrics , vol.40 , pp. 307-318
    • Ploberger, W.1    Krämer, W.2    Kontrus, K.3
  • 22
    • 1842607847 scopus 로고    scopus 로고
    • R Foundation for Statistical Computing: Vienna, Austria
    • R Development Core Team. 2003. R: A Language and Environment for Statistical Computing. R Foundation for Statistical Computing: Vienna, Austria. http://www.R-project.org/
    • (2003) R: A Language and Environment for Statistical Computing
  • 23
    • 0030528942 scopus 로고    scopus 로고
    • Evidence on structural instability in macroeconomic time series relations
    • Stock JH, Watson MW. 1996. Evidence on structural instability in macroeconomic time series relations. Journal of Business & Economic Statistics 14: 11-30.
    • (1996) Journal of Business & Economic Statistics , vol.14 , pp. 11-30
    • Stock, J.H.1    Watson, M.W.2
  • 24
    • 0742271412 scopus 로고    scopus 로고
    • Alternative boundaries for CUSUM tests
    • Zeileis A. 2004. Alternative boundaries for CUSUM tests. Statistical Papers, 45: 123-131.
    • (2004) Statistical Papers , vol.45 , pp. 123-131
    • Zeileis, A.1
  • 25
    • 0141931984 scopus 로고    scopus 로고
    • Strucchange: An R package for testing for structural change in linear regression models
    • Zeileis A, Leisch F, Hornik K, Kleiber C. 2002. strucchange: An R package for testing for structural change in linear regression models. Journal of Statistical Software 7: 1-38. http://www.jstatsoft.org/v07/i02/
    • (2002) Journal of Statistical Software , vol.7 , pp. 1-38
    • Zeileis, A.1    Leisch, F.2    Hornik, K.3    Kleiber, C.4


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.