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Monitoring structural change in dynamic econometric models

Zeileis, Achim and Leisch, Friedrich and Kleiber, Christian and Hornik, Kurt (2002) Monitoring structural change in dynamic econometric models. Report Series SFB "Adaptive Information Systems and Modelling in Economics and Management Science", 64. SFB Adaptive Information Systems and Modelling in Economics and Management Science, WU Vienna University of Economics and Business, Vienna.

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Abstract

The classical approach to testing for structural change employs retrospective tests using a historical data set of a given length. Here we consider a wide array of fluctuation-type tests in a monitoring situation - given a history period for which a regression relationship is known to be stable, we test whether incoming data are consistent with the previously established relationship. Procedures based on estimates of the regression coefficients are extended in three directions: we introduce (a) procedures based on OLS residuals, (b) rescaled statistics and (c) alternative asymptotic boundaries. Compared to the existing tests our extensions offer better power against certain alternatives, improved size in finite samples for dynamic models and ease of computation respectively. We apply our methods to two data sets, German M1 money demand and U.S. labor productivity.

Item Type: Paper
Keywords: online monitoring / CUSUM / MOSUM / moving estimates / recursive estimates
Classification Codes: JEL C22; C52
Divisions: Departments > Finance, Accounting and Statistics > Statistics and Mathematics
Departments > Informationsverarbeitung u Prozessmanag. > Informationswirtschaft
Departments > Informationsverarbeitung u Prozessmanag. > Produktionsmanagement > Taudes
Departments > Marketing > Service Marketing und Tourismus
Depositing User: Repository Administrator
Date Deposited: 25 Mar 2002 11:56
Last Modified: 27 Feb 2017 11:17
URI: http://epub.wu.ac.at/id/eprint/1296

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