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Monitoring time-varying parameters in an autoregression

Author

Listed:
  • Carsoule, F.
  • Franses, Ph.H.B.F.

Abstract

We develop a sequential testing approach for a structural change in the parameters of an autoregression, which amounts to a monitoring procedure with a controlled asymptotic size as we repeat the test. Our method can be used as a general misspecification test. We apply our method to monthly US industrial production in order to investigate if its autoregressive behavior and/or its innovation variance have changed during the twentieth century.

Suggested Citation

  • Carsoule, F. & Franses, Ph.H.B.F., 1999. "Monitoring time-varying parameters in an autoregression," Econometric Institute Research Papers EI 9937/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    • Handle: RePEc:ems:eureir:1606
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