Monitoring on-line data to detect change point as early as possible is an important issue. It is shown that the existing CUSUM test is inefficient to quickly give an alarm when change point does not occur at the early stage of monitoring. In this paper we propose a set of new monitoring...

A moving ratio monitoring scheme is proposed to detect changes between trend stationary (I(0)) and difference stationary (I(1)) regimes. It is consistent both for I(1) to I(0) and I(0) to I(1) change, and has less computation time. The empirical size, power and average run length of the test are...

This paper tests the null hypothesis of stationarity against the alternative of changes in persistence for sequences in the domain of attraction of a stable law. The proposed moving ratio test is valid for multiple changes in persistence while the previous residual based ratio tests are designed...

This paper proposes a cumulative sum (CUSUM) based statistic to test if there is a common variance change-point in panel data models. Asymptotic distribution is derived under the null hypothesis and the consistency of the test is proven under the alternative hypothesis. Monte Carlo experiment is...