Monitoring Structural Change in Dynamic Econometric Models

By Achim Zeileis, Friedrich Leisch, Christian Kleiber, Kurt Hornik. 2002

237 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/52503988eb7ef710df913f2e8c363664202cc0de

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In Economics and Econometrics

Citations in the corpus

The Causal Relationship Between Economic Policy Uncertainty and Stock Returns in China and India: Evidence from a Bootstrap Rolling Window Approach (2016, background): “In the presence of structural changes, the full-sample causality test with assumptions of parameter constancy and a single causality across the whole sample period are no longer reliable, and hence the ensuing results are meaningless (Zeileis et al. 2005).”
Structural breaks in time series (2013, methodology): “A unifying view based on generalized fluctuation tests, incorporating CUSUM and MOSUM procedures as special cases, was offered in Chu et al. (1999a, b), Leisch et al. (2000), Kuan and Hornik (2005), and Zeileis et al. (2005).”
DEPENDENT FUNCTIONAL LINEAR MODELS WITH APPLICATIONS TO MONITORING STRUCTURAL CHANGE (2014, unknown): “Contributions to the area include, but are not limited to, Leisch, Hornik, and Kuan (2000), Zeileis et al. (2005), Aue et al. (2006), and Hušková, Prašková, and Steinebach (2007).”
Change detection using landsat time series: A review of frequencies, preprocessing, algorithms, and applications (2017, methodology): “The Breaks for Additive Season and Trend (BFAST) algorithm belongs to the statistical boundary method, and it was rooted in the econometrics discipline for monitoring structural change (Chu et al., 1995; Leisch et al., 2000; Zeileis et al., 2005).”
A Unified Approach to Structural Change Tests Based on ML Scores, F Statistics, and OLS Residuals (2005, methodology): “…both boundaries are suitable for capturing fluctuations in the ‖efp(t)‖22 process: b1 can be seen as an extension of the procedure suggested in Zeileis et al. (2005) and spreads its power rather evenly, while b1 uses a trimming parameter similar to the historical procedure and is especially…”
Testing for Speculative Bubbles in Stock Markets: A Comparison of Alternative Methods (2012, background): “This is due to the fact that structural break tests are constructed as “one-shot” test procedures, that is, the (asymptotic) size of the test is controlled provided that the sample is fixed and the test procedure is applied only once to the same dataset (cf. Chu, Stinchcombe, and White 1996; Zeileis”
Delay times of sequential procedures for multiple time series regression models (2009, methodology): “Other sequential procedures for the same testing problemwere introduced in Leisch et al. (2000), Horváth et al. (2004), Zeileis et al. (2005), and Aue et al. (2006b).”