http://repub.eur.nl/res/aut/1780/ List of Publications en http://repub.eur.nl/static-eur/img/logo.png http://repub.eur.nl http://repub.eur.nl/res/pub/13317/ 2003-12-01T00:00:00Z We develop a sequential testing approach for a structural change in the parameters of an autoregression, which amounts to an adaptation of the monitoring procedure, outlined in Chu, Stichcombe and White (1996). This procedure has a controlled asymptotic size as one repeats 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. http://repub.eur.nl/res/pub/1596/ 1999-06-23T00:00:00Z In this paper we propose a sequential testing approach for a structural change in the variance of a time series, which amounts to a procedure with a controlled asymptotic size as we repeat the test. Our approach builds on that taken in Chu, Stinchcombe and White (1996) for structural change in the parameters of a linear regression model. We provide simulation evidence to examine the empirical size and power of our procedure. We apply our approach to 14 weekly observed European exchange rates for 1985-1998 and we find ample evidence for the presence of structural changes in nominal exchange rate volatility, where generally a reduction of volatility is found. http://repub.eur.nl/res/pub/1606/ 1999-01-01T00:00:00Z 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.