Quotation Zeileis, Achim, Hornik, Kurt. 2007. Generalized M-fluctuation tests for parameter instability. Statistica Neerlandica 61 (3): 488-508.


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Abstract

A general class of uctuation tests for parameter instability in an M-estimation framework is suggested. Tests from this framework can be constructed by first choosing an appropriate estimation technique, deriving a partial sum process of the estimation scores which captures instabilities over time, and aggregating this process to a test statistic by using a suitable scalar functional. Inference for these tests is based on functional central limit theorems which are derived under the null hypothesis of parameter stability and local alternatives. For (general- ized) linear regression models, concrete tests are derived which cover several known tests for (approximately) normal data but also allow for testing for parameter instability in regressions with binary or count data. The usefulness of the test procedures|complemented by power- ful visualizations derived from these|is illustrated using Dow Jones industrial average stock returns, youth homicides in Boston, USA, and illegitimate births in Großarl, Austria.

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Publication's profile

Status of publication Published
Affiliation WU
Type of publication Journal article
Journal Statistica Neerlandica
Citation Index SCI
WU-Journal-Rating new VW-D
Language English
Title Generalized M-fluctuation tests for parameter instability
Volume 61
Number 3
Year 2007
Page from 488
Page to 508
Reviewed? Y
URL http://statmath.wu-wien.ac.at/~zeileis/papers/Zeileis+Hornik-2007.pdf

Associations

People
Zeileis, Achim (Former researcher)
Hornik, Kurt (Details)
Organization
Institute for Statistics and Mathematics IN (Details)
Research Institute for Computational Methods FI (Details)
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