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Detecting relevant changes in time series models

Published:2015-05-21 Issue:2 Volume:78 Page:371-394
ISSN:1369-7412
Container-title:Journal of the Royal Statistical Society: Series B (Statistical Methodology)
language:en
Short-container-title:J. R. Stat. Soc. B

Author:

Dette Holger¹,Wied Dominik²

Affiliation:

1. Ruhr-Universität Bochum; Germany

2. Technische Universität Dortmund; Germany

Funder

Collaborative Research Center ‘Statistical modeling of nonlinear dynamic processes’

Deutsche Forschungsgemeinschaft

Publisher

Wiley

Subject

Statistics, Probability and Uncertainty,Statistics and Probability

Link

http://onlinelibrary.wiley.com/wol1/doi/10.1111/rssb.12121/fullpdf

Reference39 articles.

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

2. Tests for parameter instability and structural change with unknown change point;Andrews;Econometrica,1993

3. Optimal change-point tests for normal linear regression;Andrews;J. Econmetr.,1996

4. Break detection in the covariance structure of multivariate time series models;Aue;Ann. Statist.,2009

5. Structural breaks in time series;Aue;J. Tim. Ser. Anal.,2013

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