Monitoring parameter change in linear regression model based on the efficient score vector

Author:

Zhao Wenzhi,Xue Yixin,Liu Xin

Funder

National Natural Science Foundation of China

Xi’an Polytechnic University, China

Publisher

Elsevier BV

Subject

Condensed Matter Physics,Statistics and Probability

Reference18 articles.

1. Change-point estimation in ARCH models;kokoszka;Bernoulli,2000

2. GARCH Processes: structure and estimation;Berkes;Bernoulli,2003

3. Monitoring structural change;Chu;Econometrica,1996

4. Monitoring structural change in variance, with an application to european nomianl exchange rate volatility;Carsoule;Econometric,1999

5. Monitoring structural change in dynamic econometric models;Zeileis;J. Appl. Econometrics,2005

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