Multivariate methods for monitoring structural change

Journal of Applied Econometrics

Volumn 28, Issue 2, 2013, Pages 250-274

  Groen, Jan J J ^a   Kapetanios, George ^b   Price, Simon ^c  

^a FEDERAL RESERVE BANK OF NEW YORK   (United States)

^b QUEEN MARY UNIVERSITY OF LONDON   (United Kingdom)

^c BANK OF ENGLAND   (United Kingdom)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 84874021075     PISSN: 08837252     EISSN: 10991255     Source Type: Journal    
DOI: 10.1002/jae.1272     Document Type: Article

References (27)

1. Andrews DWK. 1993. Tests for parameter instability and structural change with unknown change point. Econometrica 61: 821-856.
2. Andrews DWK. 2003. End-of-sample instability tests. Econometrica 71: 1661-1694.
3. Bai J, Perron P. 1998. Estimating and testing linear models with multiple structural changes. Econometrica 66: 47-78.
4. Bai J, Lumsdaine RL, Stock JH. 1998. Testing for and dating common breaks in multivariate time series. The Review of Economic Studies 65: 395-432.
5. Brown RL, Durbin J, Evans JM. 1975. Techniques for testing the constancy of regression relationships over time. Journal of the Royal Statistical Society, Series B 37: 149-163.
6. Chow G. 1960. Tests of equality between sets of coefficients in two linear regressions. Econometrica 28: 591-603.
7. Chu C-SJ, Stinchcombe M, White H. 1996. Monitoring structural change. Econometrica 64: 1045-1065.
8. Clements MP, Hendry DF. 1998a. Forecasting Economic Time Series. Cambridge University Press: Cambridge, UK.
9. Clements MP, Hendry DF. 1998b. Intercept corrections and structural change. Journal of Applied Econometrics 11: 475-494.
10. Clements MP, Hendry DF. 1999. Forecasting Non-stationary Economic Time Series. MIT Press: Cambridge, MA.
11. Cogley T, Sargent TJ. 2002. Evolving post World War II U.S. inflation dynamics. In NBER Macroeconomics Annual 2001, Bernanke BS, Rogoff K (eds). MIT Press: Cambridge, MA; 331-388.
12. Davies RB. 1977. Hypothesis testing when a nuisance parameter is present only under the alternative. Biometrika 64(2): 247-254.
13. Groen JJJ, Mumtaz H. 2008. Investigating the structural stability of the Phillips curve relationship. Working Paper 350, Bank of England.
14. Groen JJJ, Kapetanios G, Price S. 2009. Multivariate methods for monitoring structural change. Working Paper No. 658, Queen Mary, University of London.
15. Hendry DF. 2000. On detectable and non-detectable structural change. Structural Change and Economic Dynamics 11: 45-65.
16. Im KS, Pesaran MH, Shin Y. 2003. Testing for unit roots in heterogeneous panels. Journal of Econometrics 115: 53-74.
17. Kapetanios G. 2007. Dynamic factor extraction of cross-sectional dependence in panel unit root tests. Journal of Applied Econometrics 22: 313-338.
18. King M. 2002. The inflation target ten years on. Bank of England Quarterly Bulletin 42: 459-474.
19. Krämer W, Ploberger W, Alt R. 1988. Testing for structural change in dynamic models. Econometrica 56(6): 1355-1369.
20. Kuan C-M, Hornik K. 1995. The generalized fluctuation test: a unifying view. Econometric Reviews 14: 135-1361.
21. Leisch F, Hornik K, Kuan C-M. 2000. Monitoring structural changes with the generalized fluctuation test. Econometric Theory 16: 835-854.
22. Monacelli T, Sala L. 2009. The international dimension of inflation: evidence from disaggregated consumer price data. Journal of Money, Credit and Banking 41: 101-120.
23. Sensier M, van Dijk DJC. 2004. Testing for volatility changes in U.S. macroeconomic time series. The Review of Economics and Statistics 86: 833-839.
24. Stock JH, Watson M. 1996. Evidence on structural instability in macroeconomic time series relations. Journal of Business and Economic Statistics 14: 11-30.
25. Zeileis A. 2005. A unified approach to structural change tests based on ML scores, F statistics and OLS residuals. Econometric Reviews 24: 445-466.
26. Zeileis A, Hornik K. 2007. Ageneralized m-fluctuation tests for parameter instability. Statistica Neerlandica 61: 488-508.
27. Zeileis A, Leisch F, Kleiber C, Hornik K. 2005. Monitoring structural change in dynamic econometric models. Journal of Applied Econometrics 20: 99-121.