Chu, Chia-Shang James; Stinchcombe, Maxwell; White, Halbert - In: Econometrica 64 (1996) 5, pp. 1045-65
Contemporary tests for structural change are designed to detect a structural break within a given historical data set of fixed size. Due to the law of the iterated logarithm, these one-shot tests cannot be applied to monitor out-of-sample stability each time new data arrive. The authors propose...