Sequential monitoring for changes from stationarity to mild non-stationarity
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DOI: 10.1016/j.jeconom.2019.08.010
Abstract: Abstract We develop and study sequential testing procedures a la Chu et al. (1996) for on-line detection of changes in a time series from stationarity to mild forms of non-stationarity. The proposed tests are based on… read more here.
Keywords: stationarity; monitoring changes; non stationarity; sequential monitoring ... See more keywords