Retrospective analysis of structural changes in SEM (simultaneous equation) models with varying structure. Part 1

Retrospective analysis of structural changes in SEM (simultaneous equation) models with varying structure. Part 1

- Volume 54 2
- Retrospective analysis of structural changes in SEM (simultaneous equation) models with varying structure. Part 1
- Sergey Aivazian; Boris Brodsky

1. Aivazian S. A. (1959). A Comparison of Optimal Properties of the Neuman-Pearson and the Wald Sequential Probability Ratio Test. Theory of Probability and Its Applications, 4, 86–93 (in Russian).

2. Andrews D. W.K. (1993). Tests for Parameter Instability and Structural Change with Unknown Change Point. Econometrica, 61, 821–856

3. Andrews D. W.K., Ploberger W. (1994) Optimal Tests When a Nuisanse Parameter Is Present Only under the Alternative. Econometrica, 62, 1383–1414.

4. Ango Nze P., Doukhan P. (2004). Weak Dependence. Models and Applications in Econometrics. Economic Theory, 20, 995–1045.

5. Bai J., Lumsdaine R., Stock J. (1998). Testing for and Dating Common Breaks in Multivariate Time Series. Review of Economic Studies, 65, 395–432.

6. Bradley R. (2005). Basic Properties of Strong Mixing Conditions. A Survey and Some Open Questions. Probability Surveys, 2, 107–144.

7. Brodsky B. E. (2006). Retrospective Analysis of Structural Changes in Econometric Models. Economics and Mathematical Methods, 46, 4 (in Russian).

8. Brodsky B. E., Darkhovsky B. S. (2000). Non-Parametric Statistical Diagnosis. Problems and Methods. Dordreht: Kluwer Academic Publishers.

9. Brodsky, B.E., Darkhovsky B. S. (1993). Non-Parametric Methods in Change-Point Problems. Dordrecht: Kluwer Academic Publishers.

10. Brodsky, B.E., Darkhovsky B. S. (1993). Non-Parametric Methods in Change-Point Problems. Dordrecht: Kluwer Academic Publishers.

11. Chu C., Stinchcombe M., White H. (1996). Monitoring Structural Change. Econometrica, 64, 1045–1065.

12. Csörgö M., Horváth L. (1988). Invariance Principles for Change-Point Problems. J. of Multivar. Analysis, 27, 151–168.

13. Csörgö M., Horváth L. (1997). Limit Theorems in Change-Point Analysis. Chichester: Wiley.

14. Doukhan P., Louhichi S. (1999). A New Weak Dependence Condition and Applications to Moment Inequalities. Stochastic proceses and their Applications, 84, 313–342.

15. Girshick M. A., Rubin H. (1952). A Bayes Approach to a Quality Control Model. Ann. Math. Statist, 23 (1), 114–125.

16. Hinkley D. V. (1969). Inference about the Intersection in Two-Phase Regression. Biometrika, 56 (3), 495–504.

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23. Shiriayev A. N. (1963a). On Optimal Methods in Sequental Detection Problems. Theory of probability and its applications (TPA), 8, 26–51 (in Russian).

24. Shiryaev A. N. (1961). Detection of Spontaneous Effects. Doklady USSR, 135, 799–201 (in Russian).

25. Shiryaev A. N. (1963b). Detection of Change-Points in Technological Process, I. Theory of probability and its applications (TPA), 8, 3, 264–381 (in Russian).

26. Shiryaev A. N. (1963c). Detection of Change-Points in Technological Process, II. Theory of probability and its applications (TPA), 8, 4, 431–443 (in Russian).

27. Shiryaev A. N. (1965). Some Precise Formulas in Change-Point Problems. Theory of probability and its applications (TPA), 10, 2, 380–385 (in Russian).

28. Tartakovsky A. G., Nikiforov I., Basseville M. (2014). Sequential Analysis: Hypothesis Testing and Change-Point Detection. N.Y.: CRC Press.

29. Zacks S. (1983). Survey of Classical and Bayesian Approaches to the Change-Point Problem. Recent Advances in Statistics. N.Y, 245–269.

30. Zeileis A., Leisch F., Kleiber C., Hornik F. (2005). Monitoring Structural Change in Dynamic Econometric Models. Journal of Applied Econometrics, 20, 99–121.

ISSN: 0424-7388

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