Resource title

Generalized M-Fluctuation Tests for Parameter Instability

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Resource description

A general class of fluctuation tests for parameter instability in an M-estimation framework is suggested. The tests are based on partial sum processes of M-estimation scores for which functional central limit theorems are derived under the null hypothesis of parameter stability and local alternatives. Special emphasis is given to parameter instability in (generalized) linear regression models and it is shown that the introduced M-fluctuation tests contain a large number of parameter instability or structural change tests known from the statistics and econometrics literature. The usefulness of the procedures is illustrated using artificial data and data for the German M1 money demand, historical demographic time series from Großarl, Austria, and youth homicides in Boston. (author's abstract) ; Series: Report Series SFB "Adaptive Information Systems and Modelling in Economics and Management Science"

Resource author

Achim Zeileis, Kurt Hornik

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Resource publish date

Resource language

en

Resource content type

application/pdf

Resource resource URL

http://epub.wu.ac.at/716/1/document.pdf

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Adapt according to the license agreement. Always reference the original source and author.