Monitoring structural change in dynamic econometric models

Monitoring structural change in dynamic econometric models

The classical approach to testing for structural change employs retrospective tests using a historical data set of a given length. Here we consider a wide array of fluctuation-type tests in a monitoring situation – given a history period for which a regression relationship is known to be stable, we test whether incoming data are consistent with the previously established relationship. Procedure...

Monitoring Structural Changes in Econometric Models

The problem of sequential detection and diagnosis of structural changes in stochastic multivariate systems on the basis of sequential observations has many applications, including detection of changes in parameters of regression equations, testing adequacy of econometric models, fault detection and isolation in complex dynamical systems. There is an extensive statistical and econometric literat...

Inference in Nonlinear Econometric Models with Structural Change

Dynamic Econometric Models

K e y w o r d s: Family of Sign RCA Models, Value at Risk, backtesting, loss function.

Dynamic Econometric Models

K e y w o r d s: patent activity, panel model, decomposition of intercept.