Lorenzo Trapani, Emily Whitehouse
arXiv 26 Mar 2020 · Econometrics
arXiv:2003.12182 · PDF · DOI · OpenAlex · Extracted main text
We develop monitoring procedures for cointegrating regressions, testing the null of no breaks against the alternatives that there is either a change in the slope, or a change to non-cointegration. After observing the regression for a calibration sample m, we study a CUSUM-type statistic to detect the presence of change during a monitoring horizon m+1,...,T. Our procedures use a class of boundary functions which depend on a parameter whose value affects the delay in detecting the possible break. Technically, these procedures are based on almost sure limiting theorems whose derivation is not straightforward. We therefore define a monitoring function which - at every point in time - diverges to infinity under the null, and drifts to zero under alternatives. We cast this sequence in a randomised procedure to construct an i.i.d. sequence, which we then employ to define the detector function. Our monitoring procedure rejects the null of no break (when correct) with a small probability, whilst it rejects with probability one over the monitoring horizon in the presence of breaks.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Wagner, M. and D. Wied (2017) Consistent monitoring of cointegrating relationships: The US housing market and the subprime crisis | 1.000 | 16 | 5 | 100% |
| 2 | Horváth, L., P. Kokoszka, and J. Steinebach (2007) On sequential detection of parameter changes in linear regression | 0.969 | 11 | 5 | 91% |
| 3 | Horváth, L., M. Husková, P. Kokoszka, and J. Steinebach (2004) Monitoring changes in linear models | 0.969 | 11 | 4 | 91% |
| 4 | Chu, C., M. Stinchcombe, and H. White (1996) Monitoring structural change | 0.874 | 5 | 2 | 100% |
| 5 | Csörgo, M. and L. Horváth (1997) Limit theorems in change-point analysis, Volume 18 | 0.811 | 4 | 2 | 100% |
| 6 | Anundsen, A. K (2015) Econometric regime shifts and the US subprime bubble | 0.693 | 9 | 1 | 100% |
| 7 | Barigozzi, M. and L. Trapani (2017) Sequential testing for structural stability in approximate factor models | 0.644 | 4 | 2 | 50% |
| 8 | Horváth, L. and L. Trapani (2019) Testing for randomness in a random coefficient autoregression model | 0.644 | 2 | 2 | 100% |
| 9 | Aue, A. and L. Horváth (2004) Delay time in sequential detection of change | 0.644 | 2 | 2 | 100% |
| 10 | Busetti, F. and A. R. Taylor (2004) Tests of stationarity against a change in persistence | 0.644 | 2 | 2 | 100% |
Showing the top 10 of 46 scored citations.