Carsoule, Frédéric; Franses, Philip - In: Metrika 57 (2003) 1, pp. 51-62
We develop a sequential testing approach for a structural change in the parameters of an autoregression, which amounts to an adaptation of the monitoring procedure, outlined in Chu, Stichcombe and White (1996). This procedure has a controlled asymptotic size as one repeats the test. Our method...