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

Year 2012, Volume: 2 Issue: 3, 246 - 266, 01.09.2012

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).

Year 2012, Volume: 2 Issue: 3, 246 - 266, 01.09.2012

Abstract

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Details

Other ID JA89MA25ZS
Journal Section Research Article
Authors

Sahbi Farhanı This is me

Publication Date September 1, 2012
Published in Issue Year 2012 Volume: 2 Issue: 3

Cite

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.
AMA Farhanı S. Tests of Parameters Instability: Theoretical Study and Empirical Applications on Two Types of Models (ARMA Model and Market Model). IJEFI. September 2012;2(3):246-266.
Chicago 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, no. 3 (September 2012): 246-66.
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 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, 2012.
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 2012), 246-266.
JAMA 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, 2012, pp. 246-6.
Vancouver 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):246-6.