Consistent Monitoring of Cointegrating Relationships: The US Housing Market and the Subprime Crisis

DOI10.1111/JTSA.12247MaRDI QIDQ4596433zbMATH OpenOpenAlexFDO

Authors Martin Wagner, Dominik Wied

Publication date 1 December 2017

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

Full work available at URL https://doi.org/10.1111/jtsa.12247

zbMATH Keywords

cointegrationstructural changemonitoringUS housing market

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Applications of statistics to economics (62P20) Sequential statistical analysis (62L10) Economic time series analysis (91B84)

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Cited in

(1)

• Sequential monitoring of changes in dynamic linear models, applied to the U.S. housing market

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