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

https://izlik.org/JA82FG55RM

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