Xia Zhiming, Zhao Wenzhi, Pu Xiaolong, Guo Pengjiang. Monitoring Change Points in IV Models[J]. Chinese Journal of Applied Probability and Statistics, 2012, 28(2): 113-122.
Citation:
Xia Zhiming, Zhao Wenzhi, Pu Xiaolong, Guo Pengjiang. Monitoring Change Points in IV Models[J]. Chinese Journal of Applied Probability and Statistics, 2012, 28(2): 113-122.
Xia Zhiming, Zhao Wenzhi, Pu Xiaolong, Guo Pengjiang. Monitoring Change Points in IV Models[J]. Chinese Journal of Applied Probability and Statistics, 2012, 28(2): 113-122.
Citation:
Xia Zhiming, Zhao Wenzhi, Pu Xiaolong, Guo Pengjiang. Monitoring Change Points in IV Models[J]. Chinese Journal of Applied Probability and Statistics, 2012, 28(2): 113-122.
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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