Monitoring Structural Change

From MaRDI portal
Revision as of 06:34, 8 February 2024 by Import240129110113 (talk | contribs) (Created automatically from import240129110113)
(diff) ← Older revision | Latest revision (diff) | Newer revision → (diff)

Publication:4895055


DOI10.2307/2171955zbMath0856.90027MaRDI QIDQ4895055

Halbert White, Maxwell B. Stinchcombe, Chia-Shang James Chu

Publication date: 13 October 1996

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/1f9575c74a31a44a2ca122325198ba1770249daa


62P20: Applications of statistics to economics

91B84: Economic time series analysis


Related Items

Evaluations of likelihood ratio methods for surveillance., Statistical Surveillance. Optimality and Methods, A Nonparametric Test for Deviation from Randomness with Applications to Stock Market Index Data, Structural Change Monitoring for Random Coefficient Autoregressive Time Series, Page's sequential procedure for change-point detection in time series regression, Delay time in monitoring jump changes in linear models, SEQUENTIAL CHANGE-POINT DETECTION IN GARCH(p,q) MODELS, A Unified Approach to Structural Change Tests Based on ML Scores,FStatistics, and OLS Residuals, When bubbles burst: econometric tests based on structural breaks, On the application of new tests for structural changes on global minimum-variance portfolios, Asymptotic distribution of the delay time in Page's sequential procedure, Monitoring persistent change in a heavy-tailed sequence with polynomial trends, On the reaction time of moving sum detectors, Monitoring test for stability of copula parameter in time series, Some partially sequential nonparametric tests for detecting linear trend, Sequential testing of gradual changes in the drift of a stochastic process, Change-point monitoring for online stochastic approximations, Modified procedures for change point monitoring in linear models, Monitoring parameter change in time series models, A note on monitoring time-varying parameters in an autoregression, Monitoring risk in a ruin model perturbed by diffusion, Monitoring change in persistence in linear time series, Monitoring shifts in mean: asymptotic normality of stopping times, The monitoring test for the stability of regression models with nonstationary regressors, Strong rules for detecting the number of breaks in a time series, Delay time in sequential detection of change, Information, addiction, and `bad choices': Lessons from a century of cigarettes, Strong approximation for RCA(1) time series with applications, Monitoring changes in linear models, A new fluctuation test for constant variances with applications to finance, Bootstrapping sequential change-point tests for linear regression, Extreme value distribution of a recursive-type detector in linear model, On the use of estimating functions in monitoring time series for change points, Sequential change point detection in linear quantile regression models, Reaction times of monitoring schemes for ARMA time series, On sequential detection of parameter changes in linear regression, Methods of analyzing nonstationary time series with implicit changes in their properties, Testing, monitoring, and dating structural changes in exchange rate regimes, A general approach to the joint asymptotic analysis of statistics from sub-samples, Simulated real-time detection of multiple structural changes: evidence from Japanese economic growth, Sequential monitoring of minimum variance portfolio, Monitoring unit root and multiple structural changes: An information criterion approach, Monitoring parameter changes for random coefficient autoregressive models, Monitoring parameter changes in RCA(\(p\)) models, Extensions of some classical methods in change point analysis, Monitoring procedure for parameter change in causal time series, Semi-Sequential One-Shot Monitoring of Small Disorders With Controlled Type I Error Rate, Structural breaks in time series, Detection of Stationary Errors in Multiple Regressions with Integrated Regressors and Cointegration, Sequential Change-Point Detection in State-Space Models, SEQUENTIAL TESTING FOR THE STABILITY OF HIGH-FREQUENCY PORTFOLIO BETAS, ON-LINE MONITORING OF POLLUTION CONCENTRATIONS WITH AUTOREGRESSIVE MOVING AVERAGE TIME SERIES, Monitoring Variance Change in Infinite Order Moving Average Processes and Nonstationary Autoregressive Processes, A Near-Nonparametric Partially Sequential Test for Monitoring Phase II Location Under Pairwise Dependence Between Two Phases, CUSUM Methods for Monitoring Structural Changes in Structural Equations, Sufficient Reduction in Multivariate Surveillance, Monitoring Structural Changes in Generalized Linear Models, Optimal Sequential Surveillance for Finance, Public Health, and Other Areas, Change‐point monitoring in linear models, Properties and Use of the Shewhart Method and Its Followers, EWMA Control Charts for Monitoring Optimal Portfolio Weights, On the Performance of the Fluctuation Test for Structural Change, Unnamed Item, Some statistical aspects of methods for detection of turning points in business cycles, Controlling Type-I Error Rate in Monitoring Structural Changes Using Partially Sequential Procedures, Some Rank-Based Two-Phase Procedures in Sequential Monitoring of Exchange Rate, Sequential Detection of Change-Points in Linear Models, Monitoring Distributional Changes in Autoregressive Models