Tests of Parameters Instability: Theoretical Study and Empirical Applications on Two Types of Models (ARMA Model and Market Model)

Sahbi Farhanı

EN

Tests of Parameters Instability: Theoretical Study and Empirical Applications on Two Types of Models (ARMA Model and Market Model)

Abstract

This paper considers tests of parameters instability and structural change with known, unknown or multiple breakpoints. The results apply to a wide class of parametric models that are suitable for estimation by strong rules for detecting the number of breaks in a time series. For that, we use Chow, CUSUM, CUSUM of squares, Wald, likelihood ratio and Lagrange multiplier tests. Each test implicitly uses an estimate of a change point. We conclude with an empirical analysis on two different models (ARMA model and simple linear regression model).

Keywords

Tests of parameters instability, Structural change, Breakpoints, ARMA model, SLRM

Details

Primary Language

English

Subjects

-

Journal Section

-

Authors

Sahbi Farhanı This is me

Publication Date

September 1, 2012

Submission Date

September 1, 2012

Acceptance Date

-

Published in Issue

Year 2012 Volume: 2 Number: 3

IZ

https://izlik.org/JA82FG55RM

Cite

RIS / Bibtex

APA

Farhanı, S. (2012). Tests of Parameters Instability: Theoretical Study and Empirical Applications on Two Types of Models (ARMA Model and Market Model). International Journal of Economics and Financial Issues, 2(3), 246-266. https://izlik.org/JA82FG55RM

AMA

1.Farhanı S. Tests of Parameters Instability: Theoretical Study and Empirical Applications on Two Types of Models (ARMA Model and Market Model). IJEFI. 2012;2(3):246-266. https://izlik.org/JA82FG55RM

Chicago

Farhanı, Sahbi. 2012. “Tests of Parameters Instability: Theoretical Study and Empirical Applications on Two Types of Models (ARMA Model and Market Model)”. International Journal of Economics and Financial Issues 2 (3): 246-66. https://izlik.org/JA82FG55RM.

EndNote

Farhanı S (September 1, 2012) Tests of Parameters Instability: Theoretical Study and Empirical Applications on Two Types of Models (ARMA Model and Market Model). International Journal of Economics and Financial Issues 2 3 246–266.

IEEE

[1]S. Farhanı, “Tests of Parameters Instability: Theoretical Study and Empirical Applications on Two Types of Models (ARMA Model and Market Model)”, IJEFI, vol. 2, no. 3, pp. 246–266, Sept. 2012, [Online]. Available: https://izlik.org/JA82FG55RM

ISNAD

Farhanı, Sahbi. “Tests of Parameters Instability: Theoretical Study and Empirical Applications on Two Types of Models (ARMA Model and Market Model)”. International Journal of Economics and Financial Issues 2/3 (September 1, 2012): 246-266. https://izlik.org/JA82FG55RM.

JAMA

1.Farhanı S. Tests of Parameters Instability: Theoretical Study and Empirical Applications on Two Types of Models (ARMA Model and Market Model). IJEFI. 2012;2:246–266.

MLA

Farhanı, Sahbi. “Tests of Parameters Instability: Theoretical Study and Empirical Applications on Two Types of Models (ARMA Model and Market Model)”. International Journal of Economics and Financial Issues, vol. 2, no. 3, Sept. 2012, pp. 246-6, https://izlik.org/JA82FG55RM.

Vancouver

1.Sahbi Farhanı. Tests of Parameters Instability: Theoretical Study and Empirical Applications on Two Types of Models (ARMA Model and Market Model). IJEFI [Internet]. 2012 Sep. 1;2(3):246-6. Available from: https://izlik.org/JA82FG55RM