影响因子：0.863
DOI码：10.1080/03610920903537285
发表刊物：Communications in Statistics - Theory and Methods
关键字：CUSUM; GMM; Instrument variable; Structural changes; Weighted residuals
摘要：In this article, we introduce a monitoring scheme to (sequentially) detect structural changes in linear models with endogenous explanatory variables and develop asymptotic theories for them. The method is based on cumulative sums (CUSUM) of weighted residuals, in which the unknown in-control parameters have been replaced by its GMM estimate from the training sample. We characterize the limit distributions of the CUSUM process and the corresponding test statistic and results show that these tests are consistent. Moreover, We also obtain and tabulate the asymptotic critical values of the tests when p = 2. We also investigate our distribution theory with a Monte Carlo simulation which indicates the applicability of the methods.
论文类型：期刊论文
卷号：40
期号：6
页面范围：1109-1123
ISSN号：0361-0926
是否译文：否
收录刊物：SCI
第一作者：Zhiming Xia