Author:
Leisch Friedrich,Hornik Kurt,Kuan Chung-Ming
Abstract
In this paper we introduce the generalized fluctuation
test for monitoring structural changes and establish a
result characterizing the limiting behavior of this class
of tests. As applications of the generalized fluctuation
test, tests based on the maximum and range of the fluctuation
of moving estimates are proposed. We also derive the boundary
functions for the proposed tests and tabulate simulated
critical values. Our simulations indicate that these tests
compare favorably with the recursive-estimates-based test
considered by Chu, Stinchcombe, and White (1996, Econometrica
64, 1045–1065) when a change occurs late.
Publisher
Cambridge University Press (CUP)
Subject
Economics and Econometrics,Social Sciences (miscellaneous)
Cited by
94 articles.
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