The monitoring test for the stability of regression models with nonstationary regressors

被引：2
|
作者：
Lee, Sangyeol
Park, Siyun [1 ]
机构：
[1] Han & Park Investment & Dev, Seoul 137876, South Korea
来源：
ECONOMICS LETTERS | 2009年 / 105卷 / 03期
基金：
新加坡国家研究基金会;
关键词：
Change point test; Monitoring test; Nonstationary regressors; Strong approximation; CUSUM TEST; VARIABLES; RESIDUALS; TIME;
D O I：
10.1016/j.econlet.2009.08.013
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
In this paper, we consider the monitoring process in time series regression models with nonstationary regressors. To this end, we propose a monitoring process based on a modified square of residuals. Simulation results are provided for illustration. (C) 2009 Elsevier B.V. All rights reserved.
引用
收藏
页码：250 / 252
页数：3
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