Tests of Parameters Instability:  Theoretical Study and Empirical Applications on Two Types of Models  (ARMA Model and Market Model)

Sahbi FARHANI

Makale detayları

Tests of Parameters Instability: Theoretical Study and Empirical Applications on Two Types of Models (ARMA Model and Market Model)

Yazarlar:

Sahbi FARHANI

Yayıncı:

İlhan ÖZTÜRK

Dergi:

International Journal of Economics and Financial Issues 2012 Vol.2 Issue 3, pp.246-266

Belge Tipi:

Makale

Yayın Tarihi:

8/2012

Belge Dili:

Türkçe

Document ID (Org No.):

2000814838

Sıklık:

İki Aylık

eISSN:

2146-4138

Özet:

 

This paper considers tests of parameters instability and structural change with known, unknown or multiple breakpoints. The results apply to a wide class of parametric models that are suitable for estimation by strong rules for detecting the number of breaks in a time series. For that, we use Chow, CUSUM, CUSUM of squares, Wald, likelihood ratio and Lagrange multiplier tests. Each test implicitly uses an estimate of a change point. We conclude with an empirical analysis on two different models (ARMA model and simple linear regression model).

Makale detayları

Tests of Parameters Instability: Theoretical Study and Empirical Applications on Two Types of Models (ARMA Model and Market Model)

Yazarlar: Sahbi FARHANI

Yayıncı: İlhan ÖZTÜRK

Dergi: International Journal of Economics and Financial Issues 2012 Vol.2 Issue 3, pp.246-266

Belge Tipi: Makale

Yayın Tarihi: 8/2012

Belge Dili: Türkçe

Document ID (Org No.): 2000814838

Sıklık: İki Aylık

eISSN: 2146-4138

Sayı

Yazarlar:

Sahbi FARHANI

Yayıncı:

İlhan ÖZTÜRK

Dergi:

International Journal of Economics and Financial Issues 2012 Vol.2 Issue 3, pp.246-266

Belge Tipi:

Makale

Yayın Tarihi:

8/2012

Belge Dili:

Türkçe

Document ID (Org No.):

2000814838

Sıklık:

İki Aylık

eISSN:

2146-4138