TY  - JOUR
TT  - Tests of Parameters Instability:  Theoretical Study and Empirical Applications on Two Types of Models  (ARMA Model and Market Model)
AU  - Farhanı, Sahbi
PY  - 2012
DA  - September
JF  - International Journal of Economics and Financial Issues
JO  - IJEFI
PB  - İlhan ÖZTÜRK
WT  - DergiPark
SN  - 2146-4138
SP  - 246
EP  - 266
VL  - 2
IS  - 3
KW  - Tests of parameters instability
KW  - Structural change
KW  - Breakpoints
KW  - ARMA model
KW  - SLRM
N2  - 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).
UR  - https://dergipark.org.tr/tr/pub/ijefi/issue//351840
L1  - https://dergipark.org.tr/tr/download/article-file/362691
ER  -