Monitoring time-varying parameters in an autoregression
We develop a sequential testing approach for a structural change in the parameters of an autoregression, which amounts to a monitoring procedure with a controlled asymptotic size as we repeat the test. Our method can be used as a general misspecification test. We apply our method to monthly US industrial production in order to investigate if its autoregressive behavior and/or its innovation variance have changed during the twentieth century.
|Keywords||autoregression, misspecification test, structural change|
Carsoule, F., & Franses, Ph.H.B.F.. (1999). Monitoring time-varying parameters in an autoregression (No. EI 9937/A). Retrieved from http://hdl.handle.net/1765/1606
|feweco19991013121124.pdf Final Version , 325kb|