IDEAS home Printed from https://ideas.repec.org/p/ems/eureir/1635.html
   My bibliography  Save this paper

Goodness of fit for the constancy of a classical statistical model over time

Author

Listed:
  • Koning, A.J.

Abstract

The classical statistical model relates to n independent random variables having a common distribution. In this paper we consider the situation where the common distribution involves an unknown parameter, and where at time 0

Suggested Citation

  • Koning, A.J., 1999. "Goodness of fit for the constancy of a classical statistical model over time," Econometric Institute Research Papers EI 9959-/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    • Handle: RePEc:ems:eureir:1635
    as

    Download full text from publisher

    File URL: https://repub.eur.nl/pub/1635/1635_ps.pdf
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Lee W. Schruben, 1982. "Detecting Initialization Bias in Simulation Output," Operations Research, INFORMS, vol. 30(3), pages 569-590, June.
    2. Kramer, Walter & Ploberger, Werner & Alt, Raimund, 1988. "Testing for Structural Change in Dynamic Models," Econometrica, Econometric Society, vol. 56(6), pages 1355-1369, November.
    3. Magnus, Jan R., 1978. "Maximum likelihood estimation of the GLS model with unknown parameters in the disturbance covariance matrix," Journal of Econometrics, Elsevier, vol. 7(3), pages 281-312, April.
    4. Ploberger, Werner & Kramer, Walter, 1992. "The CUSUM Test with OLS Residuals," Econometrica, Econometric Society, vol. 60(2), pages 271-285, March.
    5. A. F. Bissell, 1984. "The Performance of Control Charts and Cusums Under Linear Trend," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 33(2), pages 145-151, June.
    6. Kallenberg, Wilbert C. M. & Koning, Alex J., 1995. "On Wieand's theorem," Statistics & Probability Letters, Elsevier, vol. 25(2), pages 121-132, November.
    7. Pollard, David, 1985. "New Ways to Prove Central Limit Theorems," Econometric Theory, Cambridge University Press, vol. 1(3), pages 295-313, December.
    8. Lee Schruben, 1983. "Confidence Interval Estimation Using Standardized Time Series," Operations Research, INFORMS, vol. 31(6), pages 1090-1108, December.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Wilton Bernardino & João B. Amaral & Nelson L. Paes & Raydonal Ospina & José L. Távora, 2022. "A statistical investigation of a stock valuation model," SN Business & Economics, Springer, vol. 2(8), pages 1-25, August.
    2. Luis Fernando Melo Velandia & Martha Alicia Misas Arango, 2004. "Modelos Estructurales de Inflación en Colombia: Estimación a través de Mínimos Cuadrados Flexibles," Borradores de Economia 3244, Banco de la Republica.
    3. Luger, Richard, 2001. "A modified CUSUM test for orthogonal structural changes," Economics Letters, Elsevier, vol. 73(3), pages 301-306, December.
    4. Vogelsang, Timothy J., 1998. "Sources of nonmonotonic power when testing for a shift in mean of a dynamic time series," Journal of Econometrics, Elsevier, vol. 88(2), pages 283-299, November.
    5. David F. Muñoz & Peter W. Glynn, 2001. "Multivariate Standardized Time Series for Steady-State Simulation Output Analysis," Operations Research, INFORMS, vol. 49(3), pages 413-422, June.
    6. Hong, Yongmiao & Linton, Oliver & McCabe, Brendan & Sun, Jiajing & Wang, Shouyang, 2024. "Kolmogorov–Smirnov type testing for structural breaks: A new adjusted-range based self-normalization approach," Journal of Econometrics, Elsevier, vol. 238(2).
    7. Qu, Zhongjun, 2008. "Testing for structural change in regression quantiles," Journal of Econometrics, Elsevier, vol. 146(1), pages 170-184, September.
    8. Ockerman, Daniel H. & Goldsman, David, 1999. "Student t-tests and compound tests to detect transients in simulated time series," European Journal of Operational Research, Elsevier, vol. 116(3), pages 681-691, August.
    9. Helmut Lütkepohl, 2013. "Reducing confidence bands for simulated impulse responses," Statistical Papers, Springer, vol. 54(4), pages 1131-1145, November.
    10. Christis Katsouris, 2023. "Testing for Structural Change under Nonstationarity," Papers 2302.02370, arXiv.org.
    11. Zakamulin, Valeriy & Hunnes, John A., 2021. "Stock earnings and bond yields in the US 1871–2017: The story of a changing relationship," The Quarterly Review of Economics and Finance, Elsevier, vol. 79(C), pages 182-197.
    12. Sibbertsen, Philipp, 2000. "Robust CUSUM-M test in the presence of long-memory disturbances," Technical Reports 2000,19, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
    13. Anatolyev Stanislav & Kosenok Grigory, 2018. "Sequential Testing with Uniformly Distributed Size," Journal of Time Series Econometrics, De Gruyter, vol. 10(2), pages 1-22, July.
    14. Neha Deopa & Daniele Rinaldo, 2024. "Quickest Detection of Ecological Regimes for Natural Resource Management," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 87(5), pages 1327-1366, May.
    15. Otto, Sven & Breitung, Jörg, 2020. "Backward CUSUM for Testing and Monitoring Structural Change," VfS Annual Conference 2020 (Virtual Conference): Gender Economics 224533, Verein für Socialpolitik / German Economic Association.
    16. Deng, Ai & Perron, Pierre, 2008. "A non-local perspective on the power properties of the CUSUM and CUSUM of squares tests for structural change," Journal of Econometrics, Elsevier, vol. 142(1), pages 212-240, January.
    17. Walter Kramer & Philipp Sibbertsen, 2002. "Testing for Structural Changes in the Presence of Long Memory," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 1(3), pages 235-242, December.
    18. Achim Zeileis, 2004. "Alternative boundaries for CUSUM tests," Statistical Papers, Springer, vol. 45(1), pages 123-131, January.
    19. Ploberger, Werner & Kramer, Walter, 1996. "A trend-resistant test for structural change based on OLS residuals," Journal of Econometrics, Elsevier, vol. 70(1), pages 175-185, January.
    20. Perron, Pierre & Yabu, Tomoyoshi, 2009. "Estimating deterministic trends with an integrated or stationary noise component," Journal of Econometrics, Elsevier, vol. 151(1), pages 56-69, July.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ems:eureir:1635. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: RePub (email available below). General contact details of provider: https://edirc.repec.org/data/feeurnl.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.