Sequential monitoring for changes from stationarity to mild non-stationarity-Reference-Cited by-同舟云学术

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Sequential monitoring for changes from stationarity to mild non-stationarity

Published:2020-03 Issue:1 Volume:215 Page:209-238
ISSN:0304-4076
Container-title:Journal of Econometrics
language:en
Short-container-title:Journal of Econometrics

Author:

Horváth Lajos,Liu Zhenya,Rice Gregory,Wang Shixuan

Funder

Natural Sciences and Engineering Research Council of Canada

Fundamental Research Funds for the Central Universities

Publisher

Elsevier BV

Subject

Applied Mathematics,Economics and Econometrics

Reference47 articles.

1. Matrix Algebra;Abadir,2005

2. Heteroskedasticity and autocorrelation consistent covariance matrix estimation;Andrews;Econometrica,1991

3. Dependent functional linear models with applications to monitoring structural change;Aue;Statist. Sinica,2014

4. A limit theorem for mildly explosive autoregression with stable errors;Aue;Econometric Theory,2006

5. Structural breaks in time series;Aue;J. Time Series Anal.,2013

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1. Sequential monitoring of stock market price changes;International Review of Economics & Finance;2024-01

2. The state of cumulative sum sequential change point testing seventy years after Page;Biometrika;2023-12-21

3. Loss function-based change point detection in risk measures;European Journal of Operational Research;2023-10

4. Fluctuation-type monitoring test for explosive behavior;Econometrics and Statistics;2023-06

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