TY - JOUR
T1 - Delay times of sequential procedures for multiple time series regression models
AU - Aue, Alexander
AU - Horváth, Lajos
AU - Reimherr, Matthew L.
N1 - Funding Information:
We thank John Geweke and two anonymous referees for their constructive comments that have lead to significant improvements in a much revised version of the original paper. This research is partially supported by NSF grants DMS 0604670, DMS 0652420 and DMS 0602219 (VIGRE), and grant RGC–HKUST6428/06H.
PY - 2009/4
Y1 - 2009/4
N2 - We consider a multiple regression model in which the explanatory variables are specified by time series. To sequentially test for the stability of the regression parameters in time, we introduce a detector which is based on the first excess time of a CUSUM-type statistic over a suitably constructed threshold function. The aim of this paper is to study the delay time associated with this detector. As our main result, we derive the limit distribution of the delay time and provide thereby a theory that extends the benchmark average run-length concept utilized in most of the sequential monitoring literature. To highlight the applicability of the limit results in finite samples, we present a Monte Carlo simulation study and an application to macroeconomic data.
AB - We consider a multiple regression model in which the explanatory variables are specified by time series. To sequentially test for the stability of the regression parameters in time, we introduce a detector which is based on the first excess time of a CUSUM-type statistic over a suitably constructed threshold function. The aim of this paper is to study the delay time associated with this detector. As our main result, we derive the limit distribution of the delay time and provide thereby a theory that extends the benchmark average run-length concept utilized in most of the sequential monitoring literature. To highlight the applicability of the limit results in finite samples, we present a Monte Carlo simulation study and an application to macroeconomic data.
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U2 - 10.1016/j.jeconom.2008.12.018
DO - 10.1016/j.jeconom.2008.12.018
M3 - Article
AN - SCOPUS:63549128246
SN - 0304-4076
VL - 149
SP - 174
EP - 190
JO - Journal of Econometrics
JF - Journal of Econometrics
IS - 2
ER -