Template-Type: ReDIF-Paper 1.0
Author-Name: Carsoule, F.
Author-Name-Last: Carsoule
Author-Name-First: Frédéric
Author-Name: Franses, Ph.H.B.F.
Author-Name-Last: Franses
Author-Name-First: Philip Hans
Author-Person: pfr226
Title: Monitoring time-varying parameters in an autoregression
Abstract: 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.
Creation-Date: 1999-01-01
File-URL: https://repub.eur.nl/pub/1606/feweco19991013121124.pdf
File-Format: application/pdf
Series: RePEc:ems:eureir
Number: EI 9937/A
Keywords: autoregression, misspecification test, structural change
Handle: RePEc:ems:eureir:1606