Ӧ�ø���ͳ�� 2012, 28(2) 113-122 DOI:      ISSN: 1001-4268 CN: 31-1256

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Monitoring Change Points in IV Models
Xia Zhiming,Zhao Wenzhi,Pu Xiaolong,Guo Pengjiang
Department of Mathematics,Northwest University, School of Science, Xi'an Polytechnic University,School of Finance and Statistics, East China Normal University, Shanghai
Abstract:

This paper studies how to detect change
points in IV models. LM method is proposed based on weighted
residual partial sum. The asymptotic properties under null or
alternative hypothesis are proved. Under some non-orthogonality
condition, the test has non-trivial power when \delta=1/2 and will
be consistent when 0<\delta<1/2.

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