Delay times of sequential procedures for multiple time series regression models

Journal of Econometrics

Volumn 149, Issue 2, 2009, Pages 174-190

  Aue, Alexander ^a   Horváth, Lajos ^b   Reimherr, Matthew L ^c  

^a UNIVERSITY OF CALIFORNIA   (United States)

^b UNIVERSITY OF UTAH   (United States)

^c UNIVERSITY OF CHICAGO   (United States)

Author keywords

Change point estimation; CUSUM statistic; Linear models; Sequential tests; Structural stability; Threshold function; Time series regressors

Indexed keywords

BENCHMARKING; MONTE CARLO METHODS; REGRESSION ANALYSIS; STABILITY;

CHANGE-POINT ESTIMATION; CUSUM STATISTIC; LINEAR MODELS; SEQUENTIAL TESTS; STRUCTURAL STABILITY; THRESHOLD FUNCTION;

TIME SERIES;

EID: 63549128246     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2008.12.018     Document Type: Article

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