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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

Sahbi Farhanı

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

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

Sahbi Farhanı

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

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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.