Monitoring Parameter Constancy with Endogenous Regressors

DOI10.1111/JTSA.12236MaRDI QIDQ5357990zbMATH OpenOpenAlexFDO

Authors Eiji Kurozumi

Publication date 18 September 2017

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

Full work available at URL https://doi.org/10.1111/jtsa.12236

zbMATH Keywords

CUSUM testinstrumental variablePhillips curvestructural change

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Asymptotic properties of parametric tests (62F05) Linear regression; mixed models (62J05)

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(4)

• Sequential testing with uniformly distributed size
• Monitoring parameter changes in models with a trend
• A monitoring procedure for detecting structural breaks in factor copula models
• Testing for distributional structural change with unknown breaks: application to pricing crop insurance contracts

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