Econometrica Vol. 64 No. 5 1996
Monitoring Structural Change
Abstract
This paper is organized as follows. In Section 2, we motivate and discuss the sequential testing approach. Section 3 discusses invariance principles of the past and present, and the CUSUM and fluctuation instability detectors. Section 4 contains some illustrative Monte Carlo experiments. A summary and concluding remarks are given in Section 5. Proofs are gathered into the Mathematical Appendix
- DOI
- 10.2307/2171955
- Volume
- 64
- Issue
- 5
- Pages
- 1045
- Sources
- bibtex:phds-export.bib crossref openalex