CUSUM methods for monitoring structural changes in structural equations

DOI10.1080/03610920903537285MaRDI QIDQ3007854zbMATH OpenOpenAlexFDO

Authors Zhiming Xia, Pengjiang Guo, Wenzhi Zhao

Publication date 17 June 2011

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610920903537285

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Linear regression; mixed models (62J05) Sequential statistical analysis (62L10) Applications of statistics to economics (62P20) Monte Carlo methods (65C05)

Recommendations

• Monitoring Structural Changes in Generalized Linear Models
• Monitoring changes in linear models
• Monitoring Structural Change
• Monitoring parameter changes in models with a trend
• Change‐point monitoring in linear models

Cites work

• A note on monitoring time-varying parameters in an autoregression
• Change‐point monitoring in linear models
• Monitoring changes in linear models
• Monitoring Structural Change
• Monitoring Structural Changes in Generalized Linear Models
• Monitoring structural changes with the generalized fluctuation test
• Nonparametric estimation of structural change points in volatility models for time series
• Statistical Methods Related to the Law of the Iterated Logarithm
• Testing for Structural Change in Dynamic Models
• Testing for the Constancy of Parameters Over Time
• Tests For Constancy Of Model Parameters Over Time

Cited in

(7)

• Monitoring changes in linear models
• Monitoring parameter changes in models with a trend
• Bayesian analysis of a linear model involving structural changes in either regression parameters or disturbances precision
• Monitoring Structural Changes in Generalized Linear Models
• Monitoring change points in IV models
• Power properties of the modified CUSUM tests
• A modified CUSUM test for orthogonal structural changes

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