A note on monitoring time-varying parameters in an autoregression
December 2003
Article
volume 57, issue 1 pp 51-62.
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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.
Keywords
Automatically Extracted Terms
- parameter
- monitoring procedure
- process
- variance
- monitoring
- procedure
- monitoring time-varying parameters
- model
- change
- autoregression
- ar parameters
- log f jft
- ar parameters change
- table
- score process
- innovation variance
- 1=2
- result
- production
- function
