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.

Additional Metadata
Keywords autoregression, misspecification test, structural change
Persistent URL dx.doi.org/10.1007/s001840200198, hdl.handle.net/1765/13317
Journal Metrika: international journal for theoretical and applied statistics
Citation
Carsoule, F, & Franses, Ph.H.B.F. (2003). A note on monitoring time-varying parameters in an autoregression. Metrika: international journal for theoretical and applied statistics, 57(1), 51–62. doi:10.1007/s001840200198