A note on monitoring time-varying parameters in an autoregression. (English) Zbl 1433.62246
Summary: 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 [C.-S. J. Chu et al., Econometrica 64, No. 5, 1045–1065 (1996; Zbl 0856.90027)]. 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.
MSC:
| 62M10 | Time series, auto-correlation, regression, etc. in statistics (GARCH) |
| 62L10 | Sequential statistical analysis |
| 62P20 | Applications of statistics to economics |
Citations:
Zbl 0856.90027References:
| [1] | Chu CSJ, Stinchcombe M, White H (1996) Monitoring structural change. Econometrica 64:1045-1065 · Zbl 0856.90027 · doi:10.2307/2171955 |
| [2] | Fuller WA (1996) Introduction to statistical time series, 2nd edition. New York: Wiley · Zbl 0851.62057 |
| [3] | Jacod J, Shiryaev AN (1987) Limit theorems for stochastic processes. Berlin: Springer Verlag · Zbl 0635.60021 · doi:10.1007/978-3-662-02514-7 |
| [4] | Watson MW (1994) Business-cycle duration and post war stabilization for the US economy. American Economic Review 84:24-46 |
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