Tests For Constancy Of Model Parameters Over Time

DOI10.1080/10485250211394MaRDI QIDQ4805746zbMATH OpenOpenAlexFDO

Authors Nils Lid Hjort, Alxander Koning

Publication date 8 May 2003

Published in Journal of Nonparametric Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/10485250211394

zbMATH Keywords

change pointsgoodness of fit testingBrownian bridgesconstancy of parametersparameter discontinuities

Mathematics Subject Classification ID

Asymptotic properties of parametric tests (62F05) Non-Markovian processes: estimation (62M09)

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• Maximally Selected Chi Square Statistics
• On the functional central limit theorem for martingales, II
• Remarks on the functional central limit theorem for martingales
• The Cusum Test with Ols Residuals
• Weak convergence of the sample distribution function when parameters are estimated

Cited in

(22)

• Confidence distributions for change-points and regime shifts
• Retrospective Parametric Tests for Homogeneity of Data
• Implementing a class of structural change tests: an econometric computing approach
• A note on the structural change test in highly parameterized psychometric models
• A Unified Approach to Structural Change Tests Based on ML Scores,FStatistics, and OLS Residuals
• Tests of measurement invariance without subgroups: a generalization of classical methods
• Generalized M‐fluctuation tests for parameter instability
• Tree-based varying coefficient regression for longitudinal ordinal responses
• A new nonparametric stability test with an application to major Chinese macroeconomic time series
• Model-based control charts in phase 1 statistical process control
• Tests of the multiperiod two-parameter model
• Generalized random forests
• Monitoring Structural Changes in Generalized Linear Models
• Network trees: a method for recursively partitioning covariance structures
• CUSUM methods for monitoring structural changes in structural equations
• Score‐based measurement invariance checks for Bayesian maximum‐a‐posteriori estimates in item response theory
• Gaining insight with recursive partitioning of generalized linear models
• Testing for measurement invariance with respect to an ordinal variable
• Bootstrap methods for single structural change tests: power versus corrected size and empirical illustration
• Goodness-of-fit tests for a heavy tailed distribution
• Score-based tests of differential item functioning via pairwise maximum likelihood estimation
• Testing for the Constancy of Parameters Over Time

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