文章基本信息

标题：Tests of Parameters Instability: Theoretical Study and Empirical Applications on Two Types of Models (ARMA Model and Market Model)
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作者：Sahbi FARHANI ; Management of Tunis, Tunis El Manar University-TUNISIA
期刊名称：International Journal of Economics and Financial Issues
电子版ISSN：2146-4138
出版年度：2012
卷号：2
期号：3
页码：246-266
语种：English
出版社：EconJournals
摘要：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). Keywords: Tests of parameters instability; Structural change; Breakpoints; ARMA model; SLRM. JEL Classifications: C22; G12; Q43