Delay times of sequential procedures for multiple time series regression models

DOI10.1016/j.jeconom.2008.12.018zbMath1429.62380OpenAlexW2080284829MaRDI QIDQ302113

Alexander Aue, Matthew Reimherr, Lajos Horváth

Publication date: 4 July 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2008.12.018

zbMATH Keywords

structural stabilitylinear modelsthreshold functionchange-point estimationsequential testsCUSUM statistictime series regressors

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Sequential statistical analysis (62L10)

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Uses Software

• FinTS

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