The generalized fluctuation test: A unifying view

DOI10.1080/07474939508800311MaRDI QIDQ4853092zbMATH OpenOpenAlexFDO

Authors Kurt Hornik, Chung-Ming Kuan

Publication date 5 March 1996

Published in Econometric Reviews (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07474939508800311

zbMATH Keywords

Brownian bridgeCUSUMfunctional central limit theoremgeneralized fluctuation testMOSUMmoving estimatesmoving-estimates testrange testrecursive estimaterecursive-estimates testsimulationsstructural changetests for parameter constancyunified asymptotic resultWiener process

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Non-Markovian processes: hypothesis testing (62M07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes (62M99)

Recommendations

• Monitoring structural changes with the generalized fluctuation test
• Testing for the Constancy of Parameters Over Time
• Generalized M‐fluctuation tests for parameter instability
• Testing the constancy of regression parameters against continuous structural change
• Alternative Tests for Parameter Stability

Cites work

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Cited in

(38)

• Testing for changes in polynomial regression
• A range-CUSUM test with recursive residuals
• Tests for changes in models with a polynomial trend
• A note on tests for partial parameter instability in the trend stationary model.
• Modeling tails of aggregate economic processes in a stochastic growth model
• Sequential testing with uniformly distributed size
• External bootstrap tests for parameter stability.
• Alternative boundaries for CUSUM tests
• A new fluctuation test for constant variances with applications to finance
• A note on the structural change test in highly parameterized psychometric models
• Testing for episodic predictability in stock returns
• Methods of analyzing nonstationary time series with implicit changes in their properties
• A nonparametric test for changing trends
• Testing for structural change in regression with long memory processes
• Monitoring structural changes with the generalized fluctuation test
• Sequential Monitoring for Changes in Models with a Polynomial Trend
• Structural breaks in time series
• A non-local perspective on the power properties of the CUSUM and CUSUM of squares tests for structural change
• Monitoring disruptions in financial markets
• Quantile regression on quantile ranges -- a threshold approach
• Testing for structural change in regression quantiles
• Local Fourier tests for structural change based on residuals
• Testing structural change in partially linear models
• Monitoring Structural Changes in Generalized Linear Models
• On the Performance of the Fluctuation Test for Structural Change
• Simulation experiments on the performance of structural change tests in cointegration
• Generalized M‐fluctuation tests for parameter instability
• Testing for structural breaks in the presence of data perturbations: impacts and wavelet-based improvements
• Robust inference in nonstationary time series models
• A Unified Approach to Structural Change Tests Based on ML Scores,FStatistics, and OLS Residuals
• Testing parameter constancy in models with infinite variance errors.
• Concept Drift Monitoring and Diagnostics of Supervised Learning Models via Score Vectors
• Robust methods for detecting multiple level breaks in autocorrelated time series
• Generalized runs tests for the IID hypothesis
• Recursive estimation in econometrics
• Testing and dating of structural changes in practice
• Implementing a class of structural change tests: an econometric computing approach
• Moving estimates test with time varying bandwidth

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