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

Yıl 2012, Cilt: 2 Sayı: 3, 246 - 266, 01.09.2012

Sahbi Farhanı

Öz

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).

Anahtar Kelimeler

Tests of parameters instability Structural change Breakpoints ARMA model SLRM

Yıl 2012, Cilt: 2 Sayı: 3, 246 - 266, 01.09.2012

Sahbi Farhanı

Öz

Toplam 0 adet kaynakça vardır.

Ayrıntılar

Diğer ID JA89MA25ZS
Yazarlar

Sahbi Farhanı Bu kişi benim

Yayımlanma Tarihi 1 Eylül 2012
Yayımlandığı Sayı Yıl 2012 Cilt: 2 Sayı: 3

Kaynak Göster

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. Eylül 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, sy. 3 (Eylül 2012): 246-66.
EndNote Farhanı S (01 Eylül 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, c. 2, sy. 3, ss. 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 (Eylül2012), 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, c. 2, sy. 3, 2012, ss. 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.