%0 Journal Article
%T Tests of Parameters Instability: Theoretical Study and Empirical Applications on Two Types of Models (ARMA Model and Market Model)
%A Sahbi FARHANI
%J International Journal of Economics and Financial Issues
%D 2012
%I EconJournals
%X This paper considers tests of parameters instability and structural change with known, unknown or multiple breakpoints. The results apply to a wide class of parametric models that are suitable for estimation by strong rules for detecting the number of breaks in a time series. For that, we use Chow, CUSUM, CUSUM of squares, Wald, likelihood ratio and Lagrange multiplier tests. Each test implicitly uses an estimate of a change point. We conclude with an empirical analysis on two different models (ARMA model and simple linear regression model).
%K Tests of parameters instability
%K Structural change
%K Breakpoints
%K ARMA model
%K SLRM.
%U http://www.econjournals.com/index.php/ijefi/article/view/173/pdf