Monitoring Parameter Constancy with Endogenous Regressors

Author:

Kurozumi Eiji1

Affiliation:

1. Department of Economics; Hitotsubashi University; Kunitachi Japan

Funder

Stanislav Anatolyev

Kengo Kato

Chirok Han

Kohtaro Hitomi

Katsumi Shimotsu

Mototsugu Shintani

Firmin Doko Tchatoka

Yohei Yamamoto

JSPS KAKENHI

Publisher

Wiley

Subject

Applied Mathematics,Statistics, Probability and Uncertainty,Statistics and Probability

Reference27 articles.

1. Nonparametric retrospection and monitoring of predictability of financial returns;Anatolyev;Journal of Business and Economic Statistics,2009

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

3. Delay time in sequential detection of change;Aue;Statistics and Probability Letters,2004

4. Change-point monitoring in linear models;Aue;Econometrics Journal,2006

5. Monitoring shifts in mean: asymptotic normality of stopping times;Aue;Test,2008

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